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Stochastic Nonstationary Optimization for Finding Universal Portfolios
16 references·6 citing·37 second hop
Stochastic Nonstationary Optimization for Finding Universal Portfolios (2000)Stochastic Nonstationary Optimization for…Introduction to Stochastic Programming (2011)Introduction to Stochastic Pr…Stochastic Programming (2010)Stochastic ProgrammingGenerating Scenario Trees for Multistage Decision Problems (2001)Generating Scenario Trees for…On‐Line Portfolio Selection Using Multiplicative Updates (1998)On‐Line Portfolio Selection U…Formulation of the Russell-Yasuda Kasai Financial Planning Model (1998)Formulation of the Russell-Ya…Dynamic stochastic programmingfor asset-liability management (1998)Dynamic stochastic programmin…Universal portfolios with side information (1996)Universal portfolios with sid…Multi-stage stochastic linear programs for portfolio optimization (1993)Multi-stage stochastic linear…Financial Optimization (1993)Financial OptimizationStochastic Network Programming for Financial Planning Problems (1992)Stochastic Network Programmin…Universal Portfolios (1991)Universal PortfoliosNumerical Techniques for Stochastic Optimization (1988)Numerical Techniques for Stoc…Stochastic Programming: Solution Techniques and Approximation Schemes (1983)Stochastic Programming: Solut…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Asset correlation based deep reinforcement learning for the portfolio selection (2023)Asset correlation based deep …Adaptive online portfolio selection with transaction costs (2021)Adaptive online portfolio sel…Online Portfolio Selection Strategy Based on Combining Experts’ Advice (2016)Online Portfolio Selection St…Robust median reversion strategy for on-line portfolio selection (2013)Robust median reversion strat…Efficient algorithms for online convex optimization and their applications (2006)Efficient algorithms for onli…On-line portfolio selection using stochastic programming (2003)On-line portfolio selection u…A Game of Prediction with Expert Advice (1998)Can We Learn to Beat the Best Stock (2004)“Options, Futures, and Other Derivatives” (2016)A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem (2017)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Risk Aversion in the Small and in the Large (1976)A Theory of the Term Structure of Interest Rates (1985)Exceptional Paper—Probability Encoding in Decision Analysis (1975)Evaluation of scenario-generation methods for stochastic programming (2003)Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management (2009)A framework for sensitivity analysis of decision trees (2017)An analog of the minimax theorem for vector payoffs (1956)Contributions to the theory of games. (1960)Relative Loss Bounds for On-Line Density Estimation with the Exponential Family of Distributions (2001)Chance-Constrained Programming (1959)Robust solutions of uncertain linear programs (1999)Optimization under uncertainty: state-of-the-art and opportunities (2003)Lectures on Stochastic Programming: Modeling and Theory (2009)Portfolio Selection (1952)Essays in the Theory of Risk-Bearing. (1972)Adaptive Game Playing Using Multiplicative Weights (1999)Efficient algorithms for online decision problems (2004)Robust Dynamic Programming (2005)Conditional value-at-risk for general loss distributions (2002)The Sample Average Approximation Method for Stochastic Discrete Optimization (2002)Theory and Applications of Robust Optimization (2010)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Adjustment of Stock Prices to New Information (2003)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)The empirical behavior of sampling methods for stochastic programming (2006)A unified framework for stochastic optimization (2018)Myopic Loss Aversion and the Equity Premium Puzzle (1993)International Asset Allocation With Regime Shifts (2002)
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References

  • 2011Introduction to Stochastic Programming6,469 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 2010Stochastic Programming2,228 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 2001Generating Scenario Trees for Multistage Decision Problems674 cited
  • 1988Numerical Techniques for Stochastic Optimization632 cited
  • 1991Universal Portfolios581 cited
  • 1998On‐Line Portfolio Selection Using Multiplicative Updates387 cited
  • 1996Universal portfolios with side information349 cited
  • 1992Stochastic Network Programming for Financial Planning Problems267 cited
  • 1993Multi-stage stochastic linear programs for portfolio optimization223 cited
  • 1983Stochastic Programming: Solution Techniques and Approximation Schemes205 cited
  • 1998Formulation of the Russell-Yasuda Kasai Financial Planning Model202 cited
  • 1998Dynamic stochastic programmingfor asset-liability management186 cited
  • 1993Financial Optimization

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142 cited

Cited by

  • 2021Adaptive online portfolio selection with transaction costs60 cited
  • 2016Online Portfolio Selection Strategy Based on Combining Experts’ Advice38 cited
  • 2003On-line portfolio selection using stochastic programming36 cited
  • 2023Asset correlation based deep reinforcement learning for the portfolio selection35 cited
  • 2006Efficient algorithms for online convex optimization and their applications34 cited
  • 2013Robust median reversion strategy for on-line portfolio selection33 cited