Generalization bounds for regularized portfolio selection with market side information

DOI10.1080/03155986.2020.1730675MaRDI QIDQ5882397zbMATH OpenOpenAlexFDO

Authors Thierry Bazier-Matte, Erick Delage

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

zbMATH Keywords

learning theorygeneralization boundportfolio optimizationutility maximization

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3106184 (Why is no real title available?)
• 10.1162/153244302760200704
• Common risk factors in the returns on stocks and bonds
• Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
• Distributionally robust optimization under moment uncertainty with application to data-driven problems
• Foundations of machine learning
• Kernel methods in machine learning
• Minimizing loss probability bounds for portfolio selection
• NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES
• Portfolio selection under distributional uncertainty: a relative robust CVaR approach
• Regularization via mass transportation
• Robust Portfolio Selection Problems
• Technical note: A robust perspective on transaction costs in portfolio optimization
• The Variance Gamma Process and Option Pricing
• The big data newsvendor: practical insights from machine learning

Cited in

(4)

• A survey of contextual optimization methods for decision-making under uncertainty
• Relative utility bounds for empirically optimal portfolios
• Out-of-sample utility bounds for empirically optimal portfolios in a single-period investment problem
• Piecewise affine decision rules for contextual chance-constrained stochastic programming

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