Cover Image

Yau's Affine-Normal Descent for Large-Scale Unrestricted Higher-Moment Portfolio Optimization

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Wang, Ya-Juan, Niu, Yi-Shuai, Sheshmani, Artan, Yau, Shing-Tung
Format:	Preprint
Published:	2026
Subjects:	Portfolio Management Computational Engineering, Finance, and Science Optimization and Control Computational Finance 90C30, 90C26, 90C06, 90C23, 91G10, 65K05
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

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

Yau's Affine Normal Descent: Algorithmic Framework and Convergence Analysis
by: Niu, Yi-Shuai, et al.
Published: (2026)

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

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

Hyper-Adaptive Momentum Dynamics for Native Cubic Portfolio Optimization: Avoiding Quadratization Distortion in Higher-Order Cardinality-Constrained Search
by: Serbarinov, Greg
Published: (2026)

Affine Normal Directions via Log-Determinant Geometry: Scalable Computation under Sparse Polynomial Structure
by: Niu, Yi-Shuai, et al.
Published: (2026)

From Classical Optimization to Bayesian Integration: A Comprehensive Analysis of Systematic Portfolio Management
by: Verma, Ajay Kumar, et al.
Published: (2026)

Non-Convex Portfolio Optimization via Energy-Based Models: A Comparative Analysis Using the Thermodynamic HypergRaphical Model Library (THRML) for Index Tracking
by: Mancilla, Javier, et al.
Published: (2026)

Index-Tracking Portfolio Construction and Rebalancing under Bayesian Sparse Modelling and Uncertainty Quantification
by: Roxanas, Dimitrios
Published: (2025)

Scalable Mean-Variance Portfolio Optimization via Subspace Embeddings and GPU-Friendly Nesterov-Accelerated Projected Gradient
by: Niu, Yi-Shuai, et al.
Published: (2026)

Geopolitical and Institutional Constraints on Adaptive Market Efficiency -- A Feasibility Diagnostic for Robust Portfolio Construction
by: Garrone, Roberto
Published: (2026)

Multi-convex Programming for Discrete Latent Factor Models Prototyping
by: Zhu, Hao, et al.
Published: (2025)

From Semi-Infinite Constraints to Structured Robust Policies: Optimal Gain Selection for Financial Systems
by: Hsieh, Chung-Han
Published: (2022)

A Moment-SOS Hierarchy for Robust Polynomial Matrix Inequality Optimization with SOS-Convexity
by: Guo, Feng, et al.
Published: (2023)

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

Computational complexity of sum-of-squares bounds for copositive programs
by: Palomba, Marilena, et al.
Published: (2025)

Forecasting the U.S. Treasury Yield Curve: A Distributionally Robust Machine Learning Approach
by: Liu, Jinjun, et al.
Published: (2026)

Fitting Reinforcement Learning Model to Behavioral Data under Bandits
by: Zhu, Hao, et al.
Published: (2025)

Disciplined Biconvex Programming
by: Zhu, Hao, et al.
Published: (2025)

The Long-Only Minimum Variance Portfolio in a One-Factor Market: Theory and Asymptotics
by: Kercheval, Alec, et al.
Published: (2026)

A Low-rank Augmented Lagrangian Method for Polyhedral-SDP and Moment-SOS Relaxations of Polynomial Optimization
by: Hou, Di, et al.
Published: (2025)

Portfolio optimization in incomplete markets and price constraints determined by maximum entropy in the mean
by: Arratia, Argimiro, et al.
Published: (2025)

Explicit Recursive Construction of Super-Replication Prices under Proportional Transaction Costs
by: Lepinette, Emmanuel, et al.
Published: (2025)

Fix-and-Propagate Heuristics Using Low-Precision First-Order LP Solutions for Large-Scale Mixed-Integer Linear Optimization
by: Kempke, Nils-Christian, et al.
Published: (2025)

The Maximum Clique Problem under Adversarial Uncertainty: a min-max approach
by: Bomze, Immanuel, et al.
Published: (2026)

New vector transport operators extending a Riemannian CG algorithm to generalized Stiefel manifold with low-rank applications
by: Wang, Xuejie, et al.
Published: (2023)

Understanding the Long-Only Minimum Variance Portfolio
by: Gunther, Nick L., et al.
Published: (2026)

Stochastic Optimization under Hidden Convexity
by: Fatkhullin, Ilyas, 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)

Sparse Polynomial Optimization with Unbounded Sets
by: Huang, Lei, et al.
Published: (2024)

Sparse Polynomial Matrix Optimization
by: Miller, Jared, et al.
Published: (2024)

A Bilevel Hierarchy of Strengthened Complex Moment Relaxations for Complex Polynomial Optimization
by: Wang, Jie
Published: (2024)

A Moment-QSOS Hierarchy for a Class of Quaternion Polynomial Optimization Problems
by: Liu, Yanqing, et al.
Published: (2026)

Shuffling the Stochastic Mirror Descent via Dual Lipschitz Continuity and Kernel Conditioning
by: Qiu, Junwen, et al.
Published: (2026)

A KL-based Analysis Framework with Applications to Non-Descent Optimization Methods
by: Qiu, Junwen, et al.
Published: (2024)

On Tackling High-Dimensional Nonconvex Stochastic Optimization via Stochastic First-Order Methods with Non-smooth Proximal Terms and Variance Reduction
by: Xie, Yue, et al.
Published: (2025)

Decentralized projected Riemannian stochastic recursive momentum method for nonconvex optimization
by: Deng, Kangkang, et al.
Published: (2024)

Equitable Routing--Rethinking the Multiple Traveling Salesman Problem
by: Bhadoriya, Abhay Singh, et al.
Published: (2024)

A non-monotone trust-region method with noisy oracles and additional sampling
by: Krejic, Natasa, et al.
Published: (2023)

Virtual Gap Analysis procedures for Multi-Criteria Decision-Making and Efficiency Analysis Problems
by: Liu, Fuh-Hwa Franklin, et al.
Published: (2026)