Questions tagged [robust-optimization]
The robust-optimization tag has no usage guidance.
13
questions
0
votes
1
answer
144
views
Is it possible to construct an efficient frontier without the mean?
If we assume the estimator for a sample mean is biased and if the optimal portfolio weights vary with the estimated mean, is there a way (similar to the zero beta portfolio approach wrt the risk free ...
- 542
0
votes
1
answer
50
views
What order safeties are there?
stackexchange,
I am currently programming a script to use on the Bitmex API.
In algo trading a lot can happen to cause an error in the script, so my question to you all was if I missed a safety and ...
- 25
1
vote
0
answers
275
views
CVar optimization algorithms
An alternative measure of losses to Var, with more attractive properties, is Conditional Value-at-risk or CVar which is also called Mean Excess Loss, Mean Shortfall, or Tail Var. CVar is a more ...
- 349
2
votes
1
answer
187
views
Finding robust regions of multidimensional parameter combinations in trading strategies
Trading strategies often have many degrees of freedom. As a toy example let's say you have two moving averages (MA) which trigger a trade each time they cross each other: There are at least two ...
- 27.2k
0
votes
2
answers
189
views
Robust regressions: how to interpreter R^2
I am not sure if this is the right site, I hope so! But it is half coding half econometric so I guess the answer can only be given from finance professional.
In matlab it is possible to run robust ...
- 137
1
vote
0
answers
51
views
Portfolio Hedging under Uncertain Correlations
I have a portfolio ($w_0=1$) and two hedging assets ($w_1,w_2$) and a co-variance matrix for the three $\Sigma$. However the co-variance $\Sigma$ is only an estimate.
For fairly well behaved assets (...
- 1,601
12
votes
1
answer
721
views
The danger of using Principal Component Analysis (PCA) in Robust Optimization problems
I have received a reviewer's comment on a paper which applies PCA to reduce the size of a problem and the application is in the robust optimization field. The reviewer implies that "In robust ...
- 221
2
votes
1
answer
565
views
Book recommendation on robust optimization
I have a bachelors degree in economics and I took undergrad courses on mathematical optimization methods for economics and dynamic optimization in economics and econometrics. Now I'm taking an ...
- 143
8
votes
1
answer
487
views
Overview of robust/regularized portfolio selection
I am looking for either a review paper or individual papers on portfolio selection using robust statistics or regularization (e.g. LASSO, Ridge, etc.)
I.e. a review on methods along the lines of:
M ...
- 125
4
votes
2
answers
336
views
Is there any academic material regarding robust optimization with fixed transaction costs?
I'm looking to piece together a robust optimization model that handles robust optimization with fixed transaction costs and other combinatorial variables (e.g. asset count constraints).
Here's what I'...
- 617
4
votes
4
answers
2k
views
Robust Returns-Based Style Analysis
Sharpe's Return-Based Style Analysis is an interesting theory but flawed in practice when working with long-short funds or funds that are changing strategies over shorter periods of time due to the ...
- 1,601
6
votes
1
answer
2k
views
Robust Bayesian portfolio optimization in matlab?
I am working through this paper.
I want to implement the robust Bayesian optimization (see pages 6 onward) in Matlab using fmincon.
Here is a brief overview of my problem:
Let $\alpha$ be the ...
- 165
5
votes
1
answer
633
views
Robust-Bayesian optimization in Markowitz framework
Suppose we are in the mean-variance optimization setting with a vector of returns $\alpha$ and a vector of portfolio weights $\omega$.
In a robust setting, the returns are assumed to lie in some ...
- 165