Multistage Portfolio Optimization: A Duality Result in Conic Market Models
We prove a general duality result for multi-stage portfolio optimization problems in markets with proportional transaction costs. The financial market is described by Kabanov's model of foreign exchange markets over a finite probability space and finite-horizon discrete time steps. This framework allows us to compare vector-valued portfolios under a partial ordering, so that our model does not require liquidation into some numeraire at terminal time. We embed the vector-valued portfolio problem into the set-optimization framework, and generate a problem dual to portfolio optimization. Using recent results in the development of set optimization, we then show that a strong duality relationship holds between the problems.
Code (0)
등록된 구현이 없습니다.
Tasks
Portfolio OptimizationSimilar Papers 제목 키워드 기반
Dual Lagrangian Learning for Conic Optimization
This paper presents Dual Lagrangian Learning (DLL), a principled learning methodology for dual conic optimization proxies. DLL leverages conic duality and the representation power of ML models to provide high-duality, du…
Self-Supervised LearningvalidTowards Structural Sparse Precoding: Dynamic Time, Frequency, Space, and Power Multistage Resource Programming
In last decades, dynamic resource programming in partial resource domains has been extensively investigated for single time slot optimizations. However, with the emerging real-time media applications in fifth-generation …
A Short and General Duality Proof for Wasserstein Distributionally Robust Optimization
We present a general duality result for Wasserstein distributionally robust optimization that holds for any Kantorovich transport cost, measurable loss function, and nominal probability distribution. Assuming an intercha…
Portfolio optimization with two quasiconvex risk measures
We study a static portfolio optimization problem with two risk measures: a principle risk measure in the objective function and a secondary risk measure whose value is controlled in the constraints. This problem is of in…
Portfolio OptimizationVocal Bursts Valence PredictionCone-constrained Monotone Mean-Variance Portfolio Selection Under Diffusion Models
We consider monotone mean-variance (MMV) portfolio selection problems with a conic convex constraint under diffusion models, and their counterpart problems under mean-variance (MV) preferences. We obtain the precommitted…