CV@R penalized portfolio optimization with biased stochastic mirror descent
Fuente:
arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2024
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| Materias: | |
| Acceso en línea: | |
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| _version_ | 1866916131196895232 |
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| author | Costa, Manon Gadat, Sébastien Huang, Lorick |
| author_facet | Costa, Manon Gadat, Sébastien Huang, Lorick |
| contents | This article studies and solves the problem of optimal portfolio allocation with CV@R penalty when dealing with imperfectly simulated financial assets. We use a Stochastic biased Mirror Descent to find optimal resource allocation for a portfolio whose underlying assets cannot be generated exactly and may only be approximated with a numerical scheme that satisfies suitable error bounds, under a risk management constraint. We establish almost sure asymptotic properties as well as the rate of convergence for the averaged algorithm. We then focus on the optimal tuning of the overall procedure to obtain an optimized numerical cost. Our results are then illustrated numerically on simulated as well as real data sets. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2402_11999 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | CV@R penalized portfolio optimization with biased stochastic mirror descent Costa, Manon Gadat, Sébastien Huang, Lorick Optimization and Control Probability 65C20, 60E05, 37N40 This article studies and solves the problem of optimal portfolio allocation with CV@R penalty when dealing with imperfectly simulated financial assets. We use a Stochastic biased Mirror Descent to find optimal resource allocation for a portfolio whose underlying assets cannot be generated exactly and may only be approximated with a numerical scheme that satisfies suitable error bounds, under a risk management constraint. We establish almost sure asymptotic properties as well as the rate of convergence for the averaged algorithm. We then focus on the optimal tuning of the overall procedure to obtain an optimized numerical cost. Our results are then illustrated numerically on simulated as well as real data sets. |
| title | CV@R penalized portfolio optimization with biased stochastic mirror descent |
| topic | Optimization and Control Probability 65C20, 60E05, 37N40 |
| url | https://arxiv.org/abs/2402.11999 |