| bibtype |
V -
Research Report
|
| ARLID |
0637014 |
| utime |
20251007090158.3 |
| mtime |
20250701235959.9 |
| title
(primary) (eng) |
Výzkumný úkol ČVUT: Tools for Adaptive Portfolio Optimization |
| publisher |
| place |
Praha |
| name |
ČVUT |
| pub_time |
2025 |
|
| specification |
|
| keyword |
portfolio |
| keyword |
optimization |
| keyword |
structure estimation |
| keyword |
multivariate linear regression |
| keyword |
linear quadratic regulator |
| keyword |
decision making |
| keyword |
dynamic programming |
| author
(primary) |
| ARLID |
cav_un_auth*0489870 |
| name1 |
Procházka |
| name2 |
Tomáš |
| institution |
UTIA-B |
| full_dept (cz) |
Adaptivní systémy |
| full_dept (eng) |
Department of Adaptive Systems |
| department (cz) |
AS |
| department (eng) |
AS |
| country |
CZ |
| share |
100 |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
CA21169 |
| agency |
EU-COST |
| country |
XE |
| ARLID |
cav_un_auth*0452289 |
|
| abstract
(eng) |
This research project presents a combination of techniques to develop a sound mathematical approach to the portfolio optimization problem. The problem is formulated as a Linear Quadratic Regulator and solved using Dynamic Programming. The key contributions include integrating multivariate regression modeling of returns with structure estimation for the regressor subset and employing exponential forgetting with an algorithm for varying forgetting factor. The optimal allocation is obtained by solving a constrained quadratic programming problem featuring a custom reward function. We highlight the importance of structure estimation and\nthe sequential approach, while also exploring the potential of modeling optimal allocation using the same regression framework as for returns. |
| RIV |
BB |
| FORD0 |
20000 |
| FORD1 |
20200 |
| FORD2 |
20205 |
| reportyear |
2026 |
| inst_support |
RVO:67985556 |
| permalink |
https://hdl.handle.net/11104/0370102 |
| confidential |
S |
| arlyear |
2025 |
| mrcbU10 |
2025 |
| mrcbU10 |
Praha ČVUT |
|