Yijie Wang

Data-Driven Contextual Optimization with Gaussian Mixtures: Flow-Based Generalization, Robust Models, and Multistage Extensions

  • YoungChul Yoon
  • Grani A. Hanasusanto
  • Yijie Wang
    • Categories Robust Optimization, Stochastic Programming Tags , , , , ,

    Contextual optimization enhances decision quality by leveraging side information to improve predictions of uncertain parameters. However, existing approaches face significant challenges when dealing with multimodal or mixtures of distributions. The inherent complexity of such structures often precludes an explicit functional relationship between the contextual information and the uncertain parameters, limiting the direct applicability of parametric … Read more

    Robust Contextual Portfolio Optimization with Gaussian Mixture Models

  • Yijie Wang
  • Ling Dai
  • Grani A. Hanasusanto
  • Chin Pang Ho
    • Categories Finance and Economics, Robust Optimization Tags , ,

    We consider the portfolio optimization problem with contextual information that is available to better quantify and predict the uncertain returns of assets. Motivated by the regime modeling techniques for the finance market, we consider the setting where both the uncertain returns and the contextual information follow a Gaussian Mixture (GM) distribution. This problem is shown … Read more