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Data-driven Multiperiod Robust Mean-Variance Optimization

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  • Xin Hai
  • Gregoire Loeper
  • Kihun Nam

Abstract

We study robust mean-variance optimization in multiperiod portfolio selection by allowing the true probability measure to be inside a Wasserstein ball centered at the empirical probability measure. Given the confidence level, the radius of the Wasserstein ball is determined by the empirical data. The numerical simulations of the US stock market provide a promising result compared to other popular strategies.

Suggested Citation

  • Xin Hai & Gregoire Loeper & Kihun Nam, 2023. "Data-driven Multiperiod Robust Mean-Variance Optimization," Papers 2306.16681, arXiv.org, revised Jul 2023.
    • Handle: RePEc:arx:papers:2306.16681
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    References listed on IDEAS

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    6. Georg Pflug & David Wozabal, 2007. "Ambiguity in portfolio selection," Quantitative Finance, Taylor & Francis Journals, vol. 7(4), pages 435-442.
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