Quantitative Finance > Mathematical Finance
[Submitted on 29 Jun 2023
(v1)
, last revised 9 Jul 2023 (this version, v2)]
Title: Data-driven Multiperiod Robust Mean-Variance Optimization
Title: 数据驱动的多时期鲁棒均值-方差优化
Abstract: We study robust mean-variance optimization in multiperiod portfolio selection by allowing the true probability measure to be inside a Wasserstein ball centered at the empirical probability measure. Given the confidence level, the radius of the Wasserstein ball is determined by the empirical data. The numerical simulations of the US stock market provide a promising result compared to other popular strategies.
Submission history
From: Kihun Nam [view email][v1] Thu, 29 Jun 2023 04:53:01 UTC (1,896 KB)
[v2] Sun, 9 Jul 2023 02:11:14 UTC (1,896 KB)
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