Theory of Mathematical Optimization for Delegated Portfolio Management

Zijian Tao
We study the optimization problem of finding closed convex sets Γ ⊆ Rd containing the origin that minimize F(Γ) = ∑i=1k wi | θi/2 - pΓ(θi) | 2, where w1, ..., wk > 0, θ1, ..., θk in Rd are given, and pΓ(θi) are the closest points in Γ to θi, i = 1, ..., k. This problem is motivated by the topic of delegated portfolio management in finance. In Chapter 2, we will explore...
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