# Questions tagged [robust-optimization]

The tag has no usage guidance.

11 questions
Filter by
Sorted by
Tagged with
640 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 ...
421 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 ...
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 ...
577 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 ...
287 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'...
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 ...
124 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 ...
394 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 ...
136 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 ...
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 (...
The denominator of the Sharpe ratio is sample portfolio volatility, $\sigma_p$, which is the square root of portfolio variance based on the quadratic squared loss, L2. Alternatives for the denominator ...