Imagen de Portada

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

Fuente: arXiv

Guardado en:

Detalles Bibliográficos
Autores principales:	Mousavi, Ahmad, Michailidis, George
Formato:	Preprint
Publicado:	2023
Materias:	Optimization and Control
Acceso en línea:	Acceder al recurso
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

Ejemplares similares

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

Optimizing Sparse Mean-Reverting Portfolio
por: Yoon, Sung Min
Publicado: (2024)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Mean field systems:the optimal control approach based
por: Barbu, Viorel
Publicado: (2024)

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

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

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

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

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

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

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

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

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

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

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

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

Markowitz Portfolio Construction at Seventy
por: Boyd, Stephen, et al.
Publicado: (2024)

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

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