multi-period portfolio optimization

A subspace-accelerated split Bregman method for sparse data recovery with joint l1-type regularizers

  • Valentina De Simone
  • Daniela di Serafino
  • Marco Viola
    • Categories Convex Optimization, Finance and Economics, Nonsmooth Optimization Tags , , ,

    We propose a subspace-accelerated Bregman method for the linearly constrained minimization of functions of the form f(u)+tau_1 ||u||_1 + tau_2 ||D*u||_1, where f is a smooth convex function and D represents a linear operator, e.g. a finite difference operator, as in anisotropic Total Variation and fused-lasso regularizations. Problems of this type arise in a wide … Read more

    Multi-period portfolio optimization with alpha decay

  • Vishv Jeet
  • Kartik Krishnan Sivaramakrishnan
  • Dieter Vandenbussche
    • Categories Finance and Economics Tags , ,

    The traditional Markowitz MVO approach is based on a single-period model. Single period models do not utilize any data or decisions beyond the rebalancing time horizon with the result that their policies are {\em myopic} in nature. For long-term investors, multi-period optimization offers the opportunity to make {\em wait-and-see} policy decisions by including approximate forecasts … Read more