Generalization bounds for regularized portfolio selection with market side information

DOI10.1080/03155986.2020.1730675OpenAlexW3025788976MaRDI QIDQ5882397

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

zbMATH Keywords

learning theoryportfolio optimizationutility maximizationgeneralization bound

Mathematics Subject Classification ID

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

Related Items (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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