Distributionally robust end-to-end portfolio construction

DOI10.1080/14697688.2023.2236148zbMath1530.91522arXiv2206.05134OpenAlexW4385664847MaRDI QIDQ6063322

Giorgio Costa, Garud Iyengar

Publication date: 7 November 2023

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

Full work available at URL: https://arxiv.org/abs/2206.05134

zbMATH Keywords

portfolio optimizationmachine learningasset allocationdistributionally robust optimizationstatistical ambiguity

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Robust portfolio optimization: a categorized bibliographic review
• Computing efficient frontiers using estimated parameters
• Recent advancements in robust optimization for investment management
• Data-driven robust optimization
• Recent developments in robust portfolios with a worst-case approach
• Robust asset allocation
• Generalized deviations in risk analysis
• Applied Predictive Modeling
• Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
• Ambiguous Risk Measures and Optimal Robust Portfolios
• Machine learning for quantitative finance: fast derivative pricing, hedging and fitting
• Generative adversarial networks for financial trading strategies fine-tuning and combination
• A practical guide to robust portfolio optimization
• Data-driven distributionally robust risk parity portfolio optimization
• Quant GANs: deep generation of financial time series
• Deep hedging
• Robust Portfolio Selection Problems
• Integrating prediction in mean-variance portfolio optimization

This page was built for publication: Distributionally robust end-to-end portfolio construction