Ανάρτηση Ερευνητικού Δοκιμίου no 07/24

Ερευνητικό Δοκίμιο no 07/24 με τίτλο "Norm Constrained Empirical Portfolio Optimization with Stochastic Dominance: Robust Optimization Non-Asymptotics"

του Στέλιου Αρβανίτη 

Περίληψη

The present note provides an initial theoretical explanation of the way norm regularizations  may provide a means of controlling the non-asymptotic probability of False Dominance  classification for empirically optimal portfolios satisfying empirical Stochastic Dominance restrictions in an iid setting. It does so via a dual characterization of the norm-constrained  problem, as a problem of Distributional Robust Optimization. This enables the use of  concentration inequalities involving the Wasserstein distance from the empirical distribution, to obtain an upper bound for the non-asymptotic probability of False Dominance  classification. This leads to information about the minimal sample size required for this  probability to be dominated by a predetermined significance level

Ο Στέλιος Αρβανίτης είναι Καθηγητής του τμήματος Οικονομικής Επιστήμης του Οικονομικού Πανεπιστημίου Αθηνών.