Copertina

Statistical Proxy based Mean-Reverting Portfolios with Sparsity and Volatility Constraints

Fuente: arXiv

Salvato in:

Dettagli Bibliografici
Autori principali:	Mousavi, Ahmad, Michailidis, George
Natura:	Preprint
Pubblicazione:	2023
Soggetti:	Optimization and Control
Accesso online:	Acceder al recurso
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

Cardinality Constrained Mean-Variance Portfolios: A Penalty Decomposition Algorithm
di: Mousavi, Ahmad, et al.
Pubblicazione: (2023)

Optimizing Sparse Mean-Reverting Portfolio
di: Yoon, Sung Min
Pubblicazione: (2024)

Sparse Extended Mean-Variance-CVaR Portfolios with Short-selling
di: Mousavi, Ahmad, et al.
Pubblicazione: (2024)

A Penalty-Based Method for Communication-Efficient Decentralized Bilevel Programming
di: Nazari, Parvin, et al.
Pubblicazione: (2022)

Mean Field Game of Optimal Tracking Portfolio
di: Bo, Lijun, et al.
Pubblicazione: (2025)

On Wasserstein Distributionally Robust Mean Semi-Absolute Deviation Portfolio Model: Robust Selection and Efficient Computation
di: Zhou, Weimi, et al.
Pubblicazione: (2024)

Mean-Field Langevin Dynamics for Signed Measures via a Bilevel Approach
di: Wang, Guillaume, et al.
Pubblicazione: (2024)

Autonomous Sparse Mean-CVaR Portfolio Optimization
di: Lin, Yizun, et al.
Pubblicazione: (2024)

Geometry of Sparsity-Inducing Norms
di: Chancelier, Jean-Philippe, et al.
Pubblicazione: (2025)

An Alternating Direction Method of Multipliers for Utility-based Shortfall Risk Portfolio Optimization
di: Xiao, Rufeng, et al.
Pubblicazione: (2025)

Mean-Field Games with Constraints
di: Hu, Anran, et al.
Pubblicazione: (2025)

On Improvement of Control Chart using Repetitive Sampling for Monitoring Process Mean
di: Rafique, Fahad, et al.
Pubblicazione: (2025)

Chance-Constrained DC Optimal Power Flow Using Constraint-Informed Statistical Estimation
di: Yi, Tianyang, et al.
Pubblicazione: (2025)

Introducao a otimizacao de Portfolio
di: Ferreira, Orizon P., et al.
Pubblicazione: (2022)

Sparsity-driven Aggregation of Mixed Integer Programs
di: Xu, Liding, et al.
Pubblicazione: (2025)

Sparsity-Promoting Reachability Analysis and Optimization of Constrained Zonotopes
di: Robbins, Joshua A., et al.
Pubblicazione: (2025)

Chordal Sparsity for SDP-based Neural Network Verification
di: Xue, Anton, et al.
Pubblicazione: (2022)

Ergodic Mean Field Games of Controls with State Constraints
di: Graber, Jameson, et al.
Pubblicazione: (2026)

Portfolio Exponential Utility Maximization with Jump Signals
di: Turki, Lokmane Abbas, et al.
Pubblicazione: (2026)

Deep Reinforcement Learning for Investor-Specific Portfolio Optimization: A Volatility-Guided Asset Selection Approach
di: Orra, Arishi, et al.
Pubblicazione: (2025)

Online Allocation of Throughput-Constrained Resources Using Proxy Assignments
di: Hssaine, Chamsi, et al.
Pubblicazione: (2024)

Mean Field Games of Controls with Boundary Conditions & Invariance Constraints
di: Graber, P. Jameson, et al.
Pubblicazione: (2025)

Sparsity for dynamic inverse problems on Wasserstein curves with bounded variation
di: Carioni, Marcello, et al.
Pubblicazione: (2025)

Optimal Investment Portfolio of Thyristor- and IGBT-based Electrolysis Rectifiers in Utility-scale Renewable P2H Systems
di: Zeng, Yangjun, et al.
Pubblicazione: (2025)

Mean field systems:the optimal control approach based
di: Barbu, Viorel
Pubblicazione: (2024)

A Mean-Field Game of Market Entry: Portfolio Liquidation with Trading Constraints
di: Fu, Guanxing, et al.
Pubblicazione: (2024)

Optimal Consumption and Portfolio Choice with No-Borrowing Constraint in the Kim-Omberg Model: The Complete Market Case
di: Ferrari, Giorgio, et al.
Pubblicazione: (2026)

Meta-Learning the Optimal Mixture of Strategies for Online Portfolio Selection
di: Shen, Jiayu, et al.
Pubblicazione: (2025)

Depreciation Cost is a Poor Proxy for Revenue Lost to Aging in Grid Storage Optimization
di: Kumtepeli, Volkan, et al.
Pubblicazione: (2024)

On Unified Adaptive Black-Litterman Mean-Variance Portfolio Management
di: Li, Chi-Lin, et al.
Pubblicazione: (2023)

Compact Optimality Verification for Optimization Proxies
di: Chen, Wenbo, et al.
Pubblicazione: (2024)

Dynamic Coalition Portfolio Selection with Recursive Utility
di: Wang, Hanxiao, et al.
Pubblicazione: (2024)

Wage Rigidity and Retirement in Optimal Portfolio Choice
di: Biagini, Sara, et al.
Pubblicazione: (2021)

Optimization Landscapes Learned: Proxy Networks Boost Convergence in Physics-based Inverse Problems
di: Goyal, Girnar, et al.
Pubblicazione: (2025)

Stability Margins of CBF-QP Safety Filters: Analysis and Synthesis
di: Mousavi, Shima Sadat, et al.
Pubblicazione: (2026)

Proxy Control Barrier Functions: Integrating Barrier-Based and Lyapunov-Based Safety-Critical Control Design
di: Wang, Yujie, et al.
Pubblicazione: (2025)

An efficient penalty decomposition algorithm for minimization over sparse symmetric sets
di: Mousavi, Ahmad, et al.
Pubblicazione: (2026)

Markowitz Portfolio Construction at Seventy
di: Boyd, Stephen, et al.
Pubblicazione: (2024)

Explicit Control Barrier Function-based Safety Filters and their Resource-Aware Computation
di: Mestres, Pol, et al.
Pubblicazione: (2025)

Sobolev Training of End-to-End Optimization Proxies
di: Rosemberg, Andrew W., et al.
Pubblicazione: (2025)