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PRODID:-//prob.tw//NTU Seminars V2//EN
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UID:2025-08-05-chung-han-hsieh-on-solving-distributionally-robust-optimal-portfolio@seminars.prob.tw
DTSTAMP:20261014T103347Z
DTSTART:20250805T060000Z
DTEND:20250805T065000Z
SUMMARY:On Solving Distributionally Robust Optimal Portfolio
DESCRIPTION:謝宗翰 (Chung-Han Hsieh)\nA log-optimal portfolio is any portfolio that maximizes the expected logarithmic growth (ELG) of an investor’s wealth\, which typically assumes prior knowledge of the true return distribution. However\, in practice\, return distributions are often ambiguous\; i.e.\, the true distribution is unknown\, making this problem challenging to solve. This paper proposes a supporting hyperplane approximation approach\, reformulating a class of distributional robust logoptimal portfolio problems with polyhedron ambiguity sets into tractable robust linear programs. An efficient algorithm is presented to determine the optimal number of hyperplanes. Additionally\, to adapt to the constantly changing market\, we propose an online trading algorithm using a sliding window approach to solve a sequence of robust linear programs\, offering significant computational advantages. The effectiveness of the proposed approach is supported by empirical studies using historical stock price data.
LOCATION:台大次震宇宙館 505 室
URL:http://127.0.0.1:8123/?event=2025-08-05-chung-han-hsieh-on-solving-distributionally-robust-optimal-portfolio
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