Generalization bounds for regularized portfolio selection with market side information

DOI10.1080/03155986.2020.1730675OpenAlexW3025788976MaRDI QIDQ5882397FDOQ5882397

Erick Delage, Thierry Bazier-Matte

Publication date: 15 March 2023

Published in: INFOR: Information Systems and Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03155986.2020.1730675

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zbMATH Keywords

learning theorygeneralization boundportfolio optimizationutility maximization

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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• Robust Portfolio Selection Problems
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• Minimizing loss probability bounds for portfolio selection
• NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES
• Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
• Regularization via Mass Transportation
• Technical Note—A Robust Perspective on Transaction Costs in Portfolio Optimization
• The Big Data Newsvendor: Practical Insights from Machine Learning

Cited In (2)

• Relative utility bounds for empirically optimal portfolios
• Out-of-Sample Utility Bounds for Empirically Optimal Portfolios in a Single-Period Investment Problem

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