MEAN-LPM AND MEAN-CVAR PORTFOLIO OPTIMIZATION IN CONTINUOUS-TIME

Robustness of CVaR-Minimizing Dynamic Allocation: Evidence from Multi-Asset Portfolios Through 2025

Traditional risk parity approaches rely largely on volatility measures, which may not fully capture asymmetric risk profiles. This study examines a dynamic allocation approach that minimizes portfolio-level Conditional Value-at-Risk (CVaR). The CVaR-Minimizing Dynamic Allocation (CVaR-DA) approach is intended to manage...

Dynamic Portfolio Optimization under CVaR Constraints

This work exploits the auxiliary-threshold representation of CVaR to establish the existence of an optimal strategy and strong duality without requiring market completeness, and proves that the resulting strategies converge to the optimal control as the number of iterations tends to infinity.

BACHELOR’S DEGREE PROJECT IN MATHEMATICS

Portfolio Diversification and Concentration under Dependence Uncertainty: A Majorization Approach

Modern portfolio theory identifies diversification as the primary tool for risk reduction. However, under model uncertainty, this cornerstone may no longer remain optimal. This paper investigates the tension between portfolio diversification and concentration under dependence uncertainty. In the absence of model uncert...

Decision-Focused Learning for Mean-Variance Portfolio Optimization via KKT-Based Reformulation

This work proposes a single-level optimization formulation that incorporates the Karush-Kuhn-Tucker optimality conditions of the lower-level MVO into the upper-level learning problem, and explicitly preserves the budget and short-sale constraints while remaining tractable for standard nonlinear optimization solvers.

Multi-Period Portfolio Optimization Under Uncertainty using Diversification Measure

The Robust Mean-Variance Entropy model seeks to control the risk arising from estimation error by employing robust optimization, and aims to increase the diversification of the optimal portfolio by preventing concentrated allocations by incorporating Yager's entropy as a diversification measure.