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Robustifying Conditional Portfolio Decisions via Optimal Transport. (arXiv:2103.16451v2 [q-fin.PM] UPDATED)
July 27, 2022, 1:11 a.m. | Viet Anh Nguyen, Fan Zhang, Jose Blanchet, Erick Delage, Yinyu Ye
stat.ML updates on arXiv.org arxiv.org
We propose a data-driven portfolio selection model that integrates side
information, conditional estimation and robustness using the framework of
distributionally robust optimization. Conditioning on the observed side
information, the portfolio manager solves an allocation problem that minimizes
the worst-case conditional risk-return trade-off, subject to all possible
perturbations of the covariate-return probability distribution in an optimal
transport ambiguity set. Despite the non-linearity of the objective function in
the probability measure, we show that the distributionally robust portfolio
allocation with side information …
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