Seminar: Performance-based regularization in mean-CVaR portfolio optimization
Title: Performance-based regularization in mean-CVaR portfolio optimizationSpeaker: Prof. Gah-Yi VahnAffiliation: Management Science and Operations - London Business SchoolLocation: Room 145 HuxleyTime: 2:00pmAbstract. Regularization is a technique widely used to improve the stability of solutions to statistical problems. We propose a new regularization concept, performance-based regularization (PBR), for data-driven stochastic optimization. The goal is to improve... Read more »