Non-conservative optimal transport
Fuente:
arXiv
Saved in:
| Main Authors: | Kováčová, Gabriela, Menz, Georg, Patel, Niket |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Vector-valued robust stochastic control
by: Cialenco, Igor, et al.
Published: (2024)
by: Cialenco, Igor, et al.
Published: (2024)
Erratum to "On the market viability under proportional transaction costs"
by: Bayraktar, Erhan, et al.
Published: (2013)
by: Bayraktar, Erhan, et al.
Published: (2013)
Stochastic control on the half-line and applications to the optimal dividend/consumption problem
by: Zawisza, Dariusz
Published: (2017)
by: Zawisza, Dariusz
Published: (2017)
Optimal mean-variance portfolio selection under regime-switching-induced stock price shocks
by: Shi, Xiaomin, et al.
Published: (2025)
by: Shi, Xiaomin, et al.
Published: (2025)
Duality and Policy Evaluation in Distributionally Robust Bayesian Diffusion Control
by: Blanchet, Jose, et al.
Published: (2025)
by: Blanchet, Jose, et al.
Published: (2025)
Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching
by: Zhang, Panpan, et al.
Published: (2023)
by: Zhang, Panpan, et al.
Published: (2023)
Risk management in multi-objective portfolio optimization under uncertainty
by: Becker, Yannick, et al.
Published: (2024)
by: Becker, Yannick, et al.
Published: (2024)
On optimal tracking portfolio in incomplete markets: The reinforcement learning approach
by: Bo, Lijun, et al.
Published: (2023)
by: Bo, Lijun, et al.
Published: (2023)
Almost Perfect Shadow Prices
by: Mayerhofer, Eberhard
Published: (2024)
by: Mayerhofer, Eberhard
Published: (2024)
Portfolio Optimization of Indonesian Banking Stocks Using Robust Optimization
by: Winarty, Visca Tri, et al.
Published: (2025)
by: Winarty, Visca Tri, et al.
Published: (2025)
Equilibrium Portfolio Selection under Utility-Variance Analysis of Log Returns in Incomplete Markets
by: Cao, Yue, et al.
Published: (2025)
by: Cao, Yue, et al.
Published: (2025)
Mean Field Game of Optimal Tracking Portfolio
by: Bo, Lijun, et al.
Published: (2025)
by: Bo, Lijun, et al.
Published: (2025)
Quantitative Investment Diversification Strategies via Various Risk Models
by: Gharanchaei, Maysam Khodayari, et al.
Published: (2024)
by: Gharanchaei, Maysam Khodayari, et al.
Published: (2024)
Markowitz Portfolio Construction at Seventy
by: Boyd, Stephen, et al.
Published: (2024)
by: Boyd, Stephen, et al.
Published: (2024)
Time consistent portfolio strategies for a general utility function
by: Mbodji, Oumar
Published: (2026)
by: Mbodji, Oumar
Published: (2026)
Numeraire-invariant quadratic hedging and mean--variance portfolio allocation
by: Černý, Aleš, et al.
Published: (2021)
by: Černý, Aleš, et al.
Published: (2021)
An extended Merton problem with relaxed benchmark tracking
by: Bo, Lijun, et al.
Published: (2023)
by: Bo, Lijun, et al.
Published: (2023)
Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization
by: Luxenberg, Eric, et al.
Published: (2022)
by: Luxenberg, Eric, et al.
Published: (2022)
Optimal Investment with Costly Expert Opinions
by: Knochenhauer, Christoph, et al.
Published: (2024)
by: Knochenhauer, Christoph, et al.
Published: (2024)
Uses of Sub-sample Estimates to Reduce Errors in Stochastic Optimization Models
by: Birge, John R.
Published: (2023)
by: Birge, John R.
Published: (2023)
Constrained Max Drawdown: a Fast and Robust Portfolio Optimization Approach
by: Dorador, Albert
Published: (2024)
by: Dorador, Albert
Published: (2024)
Mean-Covariance Robust Risk Measurement
by: Nguyen, Viet Anh, et al.
Published: (2021)
by: Nguyen, Viet Anh, et al.
Published: (2021)
The law of one price in quadratic hedging and mean-variance portfolio selection
by: Černý, Aleš, et al.
Published: (2022)
by: Černý, Aleš, et al.
Published: (2022)
Portfolio Time Consistency and Utility Weighted Discount Rates
by: Mbodji, Oumar, et al.
Published: (2023)
by: Mbodji, Oumar, et al.
Published: (2023)
Some general results on risk budgeting portfolios
by: Fassino, Claudia, et al.
Published: (2026)
by: Fassino, Claudia, et al.
Published: (2026)
Constructing an Investment Fund through Stock Clustering and Integer Programming
by: Gharanchaei, Maysam Khodayari, et al.
Published: (2024)
by: Gharanchaei, Maysam Khodayari, et al.
Published: (2024)
Bayesian Optimization for CVaR-based portfolio optimization
by: Millar, Robert, et al.
Published: (2025)
by: Millar, Robert, et al.
Published: (2025)
Competitive optimal portfolio selection under mean-variance criterion
by: Shao, Guojiang, et al.
Published: (2025)
by: Shao, Guojiang, et al.
Published: (2025)
Relative portfolio optimization via a value at risk based constraint
by: Bäuerle, Nicole, et al.
Published: (2025)
by: Bäuerle, Nicole, et al.
Published: (2025)
Decomposition Pipeline for Large-Scale Portfolio Optimization with Applications to Near-Term Quantum Computing
by: Acharya, Atithi, et al.
Published: (2024)
by: Acharya, Atithi, et al.
Published: (2024)
Dynamic Factor Models with Forward-Looking Views
by: Abdelhakmi, Anas, et al.
Published: (2025)
by: Abdelhakmi, Anas, et al.
Published: (2025)
The Boosted Difference of Convex Functions Algorithm for Value-at-Risk Constrained Portfolio Optimization
by: Thormann, Marah-Lisanne, et al.
Published: (2024)
by: Thormann, Marah-Lisanne, et al.
Published: (2024)
Optimal two-parameter portfolio management strategy with transaction costs
by: Ma, Chutian, et al.
Published: (2024)
by: Ma, Chutian, et al.
Published: (2024)
Distributionally Robust Deep Q-Learning
by: Lu, Chung I, et al.
Published: (2025)
by: Lu, Chung I, et al.
Published: (2025)
Deep Reinforcement Learning for Investor-Specific Portfolio Optimization: A Volatility-Guided Asset Selection Approach
by: Orra, Arishi, et al.
Published: (2025)
by: Orra, Arishi, et al.
Published: (2025)
Adaptive Partitioning and Learning for Stochastic Control of Diffusion Processes
by: Jin, Hanqing, et al.
Published: (2025)
by: Jin, Hanqing, et al.
Published: (2025)
A Scalable Gradient-Based Optimization Framework for Sparse Minimum-Variance Portfolio Selection
by: Moka, Sarat, et al.
Published: (2025)
by: Moka, Sarat, et al.
Published: (2025)
Robustifying Conditional Portfolio Decisions via Optimal Transport
by: Nguyen, Viet Anh, et al.
Published: (2021)
by: Nguyen, Viet Anh, et al.
Published: (2021)
A Penalty-Free Pipeline for Direct Quantum-Annealer Portfolio Optimization
by: Lozano, Luis
Published: (2026)
by: Lozano, Luis
Published: (2026)
Optimal portfolio under ratio-type periodic evaluation in stochastic factor models under convex trading constraints
by: Wang, Wenyuan, et al.
Published: (2024)
by: Wang, Wenyuan, et al.
Published: (2024)
Similar Items
-
Vector-valued robust stochastic control
by: Cialenco, Igor, et al.
Published: (2024) -
Erratum to "On the market viability under proportional transaction costs"
by: Bayraktar, Erhan, et al.
Published: (2013) -
Stochastic control on the half-line and applications to the optimal dividend/consumption problem
by: Zawisza, Dariusz
Published: (2017) -
Optimal mean-variance portfolio selection under regime-switching-induced stock price shocks
by: Shi, Xiaomin, et al.
Published: (2025) -
Duality and Policy Evaluation in Distributionally Robust Bayesian Diffusion Control
by: Blanchet, Jose, et al.
Published: (2025)