Robustifying Conditional Portfolio Decisions via Optimal Transport
Published Online:4 Nov 2024https://doi.org/10.1287/opre.2021.0243
References
- (2006) Infinite Dimensional Analysis: A Hitchhiker’s Guide (Springer, Berlin).Google Scholar
- (1999) Coherent measures of risk. Math. Finance 9(3):203–228.Crossref, Google Scholar
- (2019) Generalized random forests. Ann. Statist. 47(2):1148–1178.Crossref, Google Scholar
- (2006) Investor sentiment and the cross-section of stock returns. J. Finance 61(4):1645–1680.Crossref, Google Scholar
- (2019) The big data newsvendor: Practical insights from machine learning. Oper. Res. 67(1):90–108.Link, Google Scholar
- (2007) A mixed integer linear programming formulation of the optimal mean/value-at-risk portfolio problem. Eur. J. Oper. Res. 176(1):423–434.Crossref, Google Scholar
- (2020) From predictive to prescriptive analytics. Management Sci. 66(3):1025–1044.Link, Google Scholar
- (2019) From predictions to prescriptions in multistage optimization problems. Preprint, submitted April 26, https://arxiv.org/abs/1904.11637.Google Scholar
- (2022) Bootstrap robust prescriptive analytics. Math. Programming 195(1):39–78.Crossref, Google Scholar
- (2023) Dynamic optimization with side information. Eur. J. Oper. Res. 304(2):634–651.Crossref, Google Scholar
- (1972) Capital market equilibrium with restricted borrowing. J. Bus. 45(3):444–455.Crossref, Google Scholar
- (2019) Quantifying distributional model risk via optimal transport. Math. Oper. Res. 44(2):565–600.Link, Google Scholar
- (2022) Distributionally robust mean-variance portfolio selection with Wasserstein distances. Management Sci. 68(9):6382–6410.Link, Google Scholar
- (2019) Robust Wasserstein profile inference and applications to machine learning. J. Appl. Probabilities 56(3):830–857.Crossref, Google Scholar
- (2021) Statistical analysis of Wasserstein distributionally robust estimators. Carlsson JG, ed. INFORMS TutORials in Operations Research (INFORMS, Catonsville, MD), 227–254.Google Scholar
- (2022) Optimal transport-based distributionally robust optimization: Structural properties and iterative schemes. Math. Oper. Res. 47(2):1500–1529.Link, Google Scholar
- (2009) Parametric portfolio policies: Exploiting characteristics in the cross-section of equity returns. Rev. Financial Stud. 22(9):3411–3447.Crossref, Google Scholar
- (1999) The sampling error in estimates of mean-variance efficient portfolio weights. J. Finance 54(2):655–671.Crossref, Google Scholar
- (2020) Robust stochastic optimization made easy with RSOME. Management Sci. 66(8):3329–3339.Link, Google Scholar
- (2022) Data-driven conditional robust optimization. Koyejo S, Mohamed S, Agarwal A, Belgrave D, Cho K, Oh A, eds. Adv. Neural Inform. Processing Systems, vol. 35 (Curran Associates, Red Hook, NY), 9525–9537.Google Scholar
- (1993) The effect of errors in means, variances, and covariances on optimal portfolio choice. J. Portfolio Management 19(2):6.Crossref, Google Scholar
- (1957) Discrete-variable extremum problems. Oper. Res. 5(2):266–277.Link, Google Scholar
- (2010) Distributionally robust optimization under moment uncertainty with application to data-driven problems. Oper. Res. 58(3):595–612.Link, Google Scholar
- (2009) Optimal vs. naive diversification: How inefficient is the 1/n portfolio strategy? Rev. Financial Stud. 22(5):1915–1953.Crossref, Google Scholar
- (2009) A generalized approach to portfolio optimization: Improving performance by constraining portfolio norms. Management Sci. 55(5):798–812.Link, Google Scholar
- (2020) A transaction-cost perspective on the multitude of firm characteristics. Rev. Financial Stud. 33(5):2180–2222.Crossref, Google Scholar
- (2013) Improving portfolio selection using option-implied volatility and skewness. J. Financial Quant. Anal. 48(6):1813–1845.Crossref, Google Scholar
- (2019) Distributionally robust optimization with correlated data from vector autoregressive processes. Oper. Res. Lett. 47(4):294–299.Crossref, Google Scholar
- (2021) Learning models with uniform performance via distributionally robust optimization. Ann. Statist. 49(3):1378–1406.Crossref, Google Scholar
- (2022) Distributionally robust stochastic programs with side information based on trimmings. Math. Programming 195(1):1069–1105.Crossref, Google Scholar
- (2007) Robust portfolio optimization. J. Portfolio Management 33(3):40–48.Crossref, Google Scholar
- (1992) The cross-section of expected stock returns. J. Finance 47(2):427–465.Crossref, Google Scholar
- (1996) Multifactor explanations of asset pricing anomalies. J. Finance 51(1):55–84.Crossref, Google Scholar
- (1996) Local Polynomial Modelling and Its Applications, no. 66 in Monographs on Statistics and Applied Probability Series (Chapman & Hall).Google Scholar
- (2002) Macroeconomic factors do influence aggregate stock returns. Rev. Financial Stud. 15(3):751–782.Crossref, Google Scholar
- (2002) Convex measures of risk and trading constraints. Finance Stochastics 6(4):429–447.Crossref, Google Scholar
- (2015) On the rate of convergence in Wasserstein distance of the empirical measure. Probability Theory Related Fields 162(3–4):707–738.Crossref, Google Scholar
- (2023) Distributionally robust stochastic optimization with Wasserstein distance. Math. Oper. Res. 48(2):603–655.Link, Google Scholar
- (2003) Worst-case value-at-risk and robust portfolio optimization: A conic programming approach. Oper. Res. 51(4):543–556.Link, Google Scholar
- (2011) Robust optimization made easy with ROME. Oper. Res. 59(4):973–985.Link, Google Scholar
- (1995) Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior. Amer. Econom. Rev. 85(5):1088–1105.Google Scholar
- (2021) Data-driven optimization of reward-risk ratio measures. INFORMS J. Comput. 33(3):1120–1137.Link, Google Scholar
- (2023) Stochastic optimization forests. Management Sci. 69(4):1975–1994.Link, Google Scholar
- Kannan R, Bayraksan G, Luedtke JR (2021) Heteroscedasticity-aware residuals-based contextual stochastic optimization. Preprint, submitted January 8, https://arxiv.org/abs/2101.03139.Google Scholar
- Kannan R, Bayraksan G, Luedtke JR (2022) Data-driven sample average approximation with covariate information. Preprint, submitted July 27, https://arxiv.org/abs/2207.13554.Google Scholar
- (2024) Residuals-based distributionally robust optimization with covariate information. Math. Programming 207:1–57.Crossref, Google Scholar
- (1991) Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market. Management Sci. 37(5):519–531.Link, Google Scholar
- (2007) Combinatorial Optimization: Theory and Algorithms (Springer, Berlin).Google Scholar
- (2020) Shrinking the cross-section. J. Financial Econom. 135(2):271–292.Crossref, Google Scholar
- (2019) Wasserstein distributionally robust optimization: Theory and applications in machine learning. Netessine S, ed. Operations Research & Management Science in the Age of Analytics (INFORMS, Catonsville, MD), 130–166.Google Scholar
- (2004) Cross-validated local linear nonparametric regression. Statist. Sinica 14:485–512.Google Scholar
- (2000) The worst-case risk of a portfolio. Technical report, Stanford University, Stanford, CA.Google Scholar
- (1998) Applications of second-order cone programming. Linear Algebra Appl. 284(1–3):193–228.Crossref, Google Scholar
- (2005) Convex risk measures for portfolio optimization and concepts of flexibility. Math. Programming 104(2):541–559.Crossref, Google Scholar
- (1952) Portfolio selection. J. Finance 7(1):77–91.Google Scholar
- (2018) Data-driven distributionally robust optimization using the Wasserstein metric: Performance guarantees and tractable reformulations. Math. Programming 171(1–2):115–166.Crossref, Google Scholar
- MOSEK ApS (2019) MOSEK Optimizer API for Python 9.2.10. https://docs.mosek.com/9.2/pythonapi/index.htmlGoogle Scholar
- (2010) Tractable robust expected utility and risk models for portfolio optimization. Math. Finance 20(4):695–731.Crossref, Google Scholar
- (2014) Forecasting the equity risk premium: The role of technical indicators. Management Sci. 60(7):1772–1791.Link, Google Scholar
- (2020) Distributionally robust local non-parametric conditional estimation. Larochelle H, Ranzato M, Hadsell R, Balcan MF, Lin H, eds. Adv. Neural Inform. Processing Systems, vol. 33 (Curran Associates, Red Hook, NY), 15232–15242.Google Scholar
- (2003) Liquidity risk and expected stock returns. J. Political Econom. 111(3):642–685.Crossref, Google Scholar
- (2007) Ambiguity in portfolio selection. Quant. Finance 7(4):435–442.Crossref, Google Scholar
- (2012) The 1/N investment strategy is optimal under high model ambiguity. J. Bank. Finance 36(2):410–417.Crossref, Google Scholar
- (2007) A survey of the S-lemma. SIAM Rev. 49(3):371–418.Crossref, Google Scholar
- (2019) Distributionally robust optimization: A review. Preprint, submitted August 13, https://arxiv.org/abs/1908.05659.Google Scholar
- (2020) Contextual Chance-Constrained Programming (Optimization Online).Google Scholar
- (2016) Short interest and aggregate stock returns. J. Financial Econom. 121(1):46–65.Crossref, Google Scholar
- (2000) Optimization of conditional value-at-risk. J. Risk 2(3):21–41.Crossref, Google Scholar
- (2024) A survey of contextual optimization methods for decision-making under uncertainty. Eur. J. Oper. Res. Forthcoming.Google Scholar
- (1974) Parameter-free convex equivalent and dual programs of fractional programming problems. Zeitschrift Oper. Res. 18(5):187–196.Crossref, Google Scholar
- (2001) On duality theory of conic linear problems. Semi-Infinite Programming (Kluwer Academic Publishers), 135–165.Crossref, Google Scholar
- (1964) Capital asset prices: A theory of market equilibrium under conditions of risk. J. Finance 19(3):425–442.Google Scholar
- (2021) Testing group fairness via optimal transport projections. Lawrence N, ed. Proc. 38th Internat. Conf. Machine Learn. (PMLR, New York), 9649–9659.Google Scholar
- (1958) On general minimax theorems. Pacific J. Math. 8(1):171–176.Crossref, Google Scholar
- (1995) Generalized Chebychev inequalities: Theory and applications in decision analysis. Oper. Res. 43(5):807–825.Link, Google Scholar
- (2021) On data-driven prescriptive analytics with side information: A regularized Nadaraya-Watson approach. Preprint, submitted October 10, https://arxiv.org/abs/2110.04855.Google Scholar
- (2003) Model misspecification and underdiversification. J. Finance 58(6):2465–2486.Crossref, Google Scholar
- (2008) Optimal Transport: Old and New (Springer, Berlin).Google Scholar
- (2022) Robust Contextual Portfolio Optimization with Gaussian Mixture Models (Optimization Online).Google Scholar
- (2024) Optimal robust policy for feature-based newsvendor. Management Sci. 70(4):2315–2329.Link, Google Scholar
- (2018) Data-driven risk-averse stochastic optimization with Wasserstein metric. Oper. Res. Lett. 46(2):262–267.Crossref, Google Scholar
- (2017) Distributionally Robust Reward-Risk Ratio Programming with Wasserstein Metric (Optimization Online).Google Scholar
- (2009) Worst-case conditional value-at-risk with application to robust portfolio management. Oper. Res. 57(5):1155–1168.Link, Google Scholar
- (2013) Distributionally robust joint chance constraints with second-order moment information. Math. Programming 137(1–2):167–198.Crossref, Google Scholar

