Mean-variance model – Optimization Online

Optimizing investment allocation: a combination of Logistic Regression and Markowitz model

Published: 2022/04/02

Finance and Economics Fundamental Analysis, logistic regression, Mean-variance model, Portfolio Selection, risk management

One of the biggest challenges in quantitative finance is the efficient allocation of capital. Thus, in this study, a two-step methodology was proposed, in which a combination of logistic regression and Markowitz model was performed to determine optimized portfolios. In this context, in the first step, fundamentalist indicators were used as inputs to the logistic … Read more

Distributionally Robust Optimization with Expected Constraints via Optimal Transport

Published: 2021/11/11

Diego Fonseca

Mauricio Junca

Applications - OR and Management Sciences, Robust Optimization expectation constraints, Mean-variance model, robust optimization, Wassertstein metric

We consider a stochastic program with expected value constraints. We analyze this problem in a general context via Distributionally Robust Optimization (DRO) approach using 1 or 2-Wasserstein metrics where the ambiguity set depends on the decision. We show that this approach can be reformulated as a finite-dimensional optimization problem, and, in some cases, this can … Read more