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Questions tagged [robust-optimization]

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12 votes
1 answer
774 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 ...
Miranda's user avatar
  • 221
8 votes
1 answer
503 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 ...
Mel's user avatar
  • 125
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 ...
Geraldine Bailey's user avatar
5 votes
1 answer
648 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 ...
Geraldine Bailey's user avatar
4 votes
2 answers
346 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'...
MikeRand's user avatar
  • 627
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 ...
rhaskett's user avatar
  • 1,641
2 votes
1 answer
216 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 ...
vonjd's user avatar
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2 votes
1 answer
649 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 ...
capm's user avatar
  • 143
1 vote
0 answers
146 views

Combining many trading strategies in an efficient

I have a lot (>50) of back tested (and naively "validated") trading strategies. They trade different ETFs, mostly equities, but also others (like GLD, USO, ...). These are all strategies ...
user947967's user avatar
1 vote
0 answers
439 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 ...
Nipper's user avatar
  • 359
1 vote
0 answers
52 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 (...
rhaskett's user avatar
  • 1,641
0 votes
1 answer
173 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 ...
T123's user avatar
  • 545
0 votes
1 answer
52 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 ...
Bob hhhuh's user avatar
0 votes
2 answers
230 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 ...
Klapaucius's user avatar
0 votes
0 answers
53 views

Robust or Stochastic Optimization Approach for Maximizing Profit with Limited Price Information

I am tackling a linear maximization problem where I need to select the optimal product among several options over a series of weeks, given certain constraints, in order to maximize future profit. The ...
anasse's user avatar
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