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jankrepl / deepdow

Portfolio optimization with deep learning.
https://deepdow.readthedocs.io
Apache License 2.0
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Second order stochastic dominance #113

Closed rspadim closed 5 months ago

rspadim commented 3 years ago

Could be possible use deepdow yo second order dominance portfolios?

www.kybernetika.cz/content/2008/2/243/paper.pdf

https://www.wiwi.uni-konstanz.de/typo3temp/secure_downloads/85535/0/e1c9300496b7624a1c5f62720b94796f91d46780/2014-5-19_Improved_Portfolio_Choice_using_Second-order_Stochastic_Dominance_Version87.pdf

https://ampl.com/MEETINGS/TALKS/2013_07_Bergamo_Wed.pdf

jankrepl commented 3 years ago

Thank you for the post. I actually never heard of this SSD concept. Really interesting.

If I understood it correctly, one can characterize (sufficient + necessary condition) the SSD efficient portfolio as a solution of some convex optimization problem, right?

If that is the case, you can use cvxpylayers to define and solve the problem. For some inspiration, check out the NumericalMarkowitz implementation here

So in short, I think it should be possible to use it inside of deepdow!

jankrepl commented 5 months ago

Closing due to inactivity