Cover Image

Entropy-Guided Multiplicative Updates: KL Projections for Multi-Factor Target Exposures

Fuente: arXiv

Saved in:

Bibliographic Details
Main Author:	Qiu, Yimeng
Format:	Preprint
Published:	2025
Subjects:	Portfolio Management Optimization and Control 90C25, 90C90, 62F10, 94A17
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

On Cost-Sensitive Distributionally Robust Log-Optimal Portfolio
by: Hsieh, Chung-Han, et al.
Published: (2024)

On Accelerating Large-Scale Robust Portfolio Optimization
by: Hsieh, Chung-Han, et al.
Published: (2024)

Efficient and Near-Optimal Online Portfolio Selection
by: Jézéquel, Rémi, et al.
Published: (2022)

Entropic Risk-Averse Generalized Momentum Methods
by: Can, Bugra, et al.
Published: (2022)

A Distributed Method for Cooperative Transaction Cost Mitigation
by: Devanathan, Nikhil, et al.
Published: (2026)

Single-Event Multinomial Full Kelly via Implicit State Positions
by: Long, Christopher D.
Published: (2026)

Utility-Invariant Support Selection and Eventwise Decoupling for Simultaneous Independent Multi-Outcome Bets
by: Long, Christopher D.
Published: (2026)

Is Noisy Data a Blessing in Disguise? A Distributionally Robust Optimization Perspective
by: Hsieh, Chung-Han, et al.
Published: (2025)

Greedy Learning to Optimize with Convergence Guarantees
by: Fahy, Patrick, et al.
Published: (2024)

Bilevel Learning via Inexact Stochastic Gradient Descent
by: Salehi, Mohammad Sadegh, et al.
Published: (2025)

MAD Risk Parity Portfolios
by: Ararat, Çağın, et al.
Published: (2021)

Generalized Scaling for the Constrained Maximum-Entropy Sampling Problem
by: Chen, Zhongzhu, et al.
Published: (2023)

Bayesian Multi-Topology Express Transportation Network Design under Posterior Predictive Demand, Sorting-Efficiency and Delivery-Time Uncertainty
by: Chatterjee, Debashis
Published: (2026)

Non-Attainment of Minima in Non-Polyhedral Conic Optimization: A Robust SOCP Example
by: Nguyen, Vinh
Published: (2025)

Measure This, Not That: Optimizing the Cost and Model-Based Information Content of Measurements
by: Wang, Jialu, et al.
Published: (2024)

An Inexact Halpern Iteration with Application to Distributionally Robust Optimization
by: Liang, Ling, et al.
Published: (2024)

Low Rank Convex Clustering For Matrix-Valued Observations
by: Lin, Meixia, et al.
Published: (2024)

Tight Semidefinite Relaxations for Verifying Robustness of Neural Networks
by: Azuma, Godai, et al.
Published: (2025)

Semi-Monotone Goldstein Line Search Strategy with Application in Sparse Recovery
by: Shabani, Shima, et al.
Published: (2025)

Linear Threshold for Oertel's Conjecture on the Mixed-Integer Volume
by: Cheng, Hongyu, et al.
Published: (2026)

Portfolio optimisation: bridging the gap between theory and practice
by: Valle, Cristiano Arbex
Published: (2024)

Efficient Data-Driven Leverage Score Sampling Algorithm for the Minimum Volume Covering Ellipsoid Problem in Big Data
by: Harris, Elizabeth, et al.
Published: (2024)

Reciprocal Convex Costs for Ratio Matching: Functional-Equation Characterization and Decision Geometry
by: Washburn, Jonathan, et al.
Published: (2026)

A Bi-Objective Optimization Based Acquisition Strategy for Batch Bayesian Global Optimization
by: Carciaghi, Francesco, et al.
Published: (2024)

Global optimality conditions for sensor placement, with extensions to binary low-rank A-optimal designs
by: Aarset, Christian
Published: (2024)

Adversarial Graph Traversal
by: Banks, David, et al.
Published: (2026)

Sampled-Data Wasserstein Distributionally Robust Control of Multiplicative Systems: A Convex Relaxation with Performance Guarantees
by: Hsieh, Chung-Han
Published: (2026)

Approximating Hessian matrices using Bayesian inference: a new approach for quasi-Newton methods in stochastic optimization
by: Carlon, Andre, et al.
Published: (2022)

Yau's Affine-Normal Descent for Large-Scale Unrestricted Higher-Moment Portfolio Optimization
by: Wang, Ya-Juan, et al.
Published: (2026)

A distributed Douglas-Rachford splitting method for solving linear constrained multi-block weakly convex problems
by: Hu, Leyu, et al.
Published: (2024)

A feasible smoothing accelerated projected gradient method for nonsmooth convex optimization
by: Nishioka, Akatsuki, et al.
Published: (2023)

Projection, Degeneracy, and Singularity Degree for Spectrahedra
by: Im, Haesol, et al.
Published: (2024)

Optimal Parlay Wagering and Whitrow Asymptotics: A State-Price and Implicit-Cash Treatment
by: Long, Christopher D.
Published: (2026)

Risk-Constrained Kelly for Mutually Exclusive Outcomes: CRRA Support Invariance and Logarithmic One-Dimensional Calibration
by: Long, Christopher D.
Published: (2026)

A New Spectral Conjugate Subgradient Method with Application in Computed Tomography Image Reconstruction
by: Loreto, Milagros, et al.
Published: (2023)

Noisy phase retrieval from subgaussian measurements
by: Peng, Haiyang, et al.
Published: (2024)

A Projection-Free Method for Solving Convex Bilevel Optimization Problems
by: Giang-Tran, Khanh-Hung, et al.
Published: (2023)

Low solution rank of the matrix LASSO under RIP with consequences for rank-constrained algorithms
by: McRae, Andrew D.
Published: (2024)

Dual Spectral Projected Gradient Method for Generalized Log-det Semidefinite Programming
by: Namchaisiri, Charles, et al.
Published: (2024)

Estimating the errors for solutions of the SAA method to solve compound and risk averse stochastic programs
by: Kratschmer, Volker
Published: (2021)