Direct data-driven portfolio optimization with guaranteed shortfall probability

DOI10.1016/j.automatica.2012.11.012zbMath1259.93130OpenAlexW2055688117MaRDI QIDQ1940255

Giuseppe Carlo Calafiore

Publication date: 6 March 2013

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: http://porto.polito.it/2503507/

zbMATH Keywords

portfolio optimizationvalue-at-riskdata-driven methodsasset allocationrandom convex programsscenario design

Mathematics Subject Classification ID

Stochastic programming (90C15) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (7)

On asymptotic log-optimal portfolio optimization ⋮ Equilibrium multi-agent model with heterogeneous views on fundamental risks ⋮ Portfolio optimization with \(pw\)-robustness ⋮ Stochastic differential game in high frequency market ⋮ A sparse enhanced indexation model with chance and cardinality constraints ⋮ Data-driven portfolio management with quantile constraints ⋮ Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity

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