Penalized Optimization Approaches to Control Lower-partial Risk Using Factor Model

2014 Fiscal Year Final Research Report

• Project/Area Number: 23710176
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Multi-year Fund
• Research Field: Social systems engineering/Safety system
• Research Institution: Chuo University
• Principal Investigator: GOTOH Jun-ya 中央大学, 理工学部, 准教授 (40334031)
• Project Period (FY): 2011-04-28 – 2015-03-31
• Keywords: ポートフォリオ選択 / CVaR / コヒレントリスク尺度 / 正則化

Outline of Final Research Achievements

In this project, we consider a portfolio selection problems which minimizes the conditional value-at-risk or its generalized versions. It is known that solutions obtained so as to optimize over historical data do not necessarily optimal to future realization. In order to improve on such an out-of-sample performance, we employed several regularized approaches and examined their effectiveness.

Free Research Field

オペレーションズ・リサーチ