A cost-effective approach to portfolio construction with range-based risk measures

DOI10.1080/14697688.2020.1781237zbMath1466.91298OpenAlexW3046049079MaRDI QIDQ4991085

Chi Seng Pun, Lei Wang

Publication date: 2 June 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1781237

zbMATH Keywords

robustnessportfolio optimizationtransaction costsrisk measuresstatistical learning theorysupport vector regression\(\ell_2\)-regularized portfolios

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (4)

Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios ⋮ Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency ⋮ Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint ⋮ A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection

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