In spite of their importance, third or higher moments of portfolio returns are often neglected in portfolio construction problems due to the computational difficulties associated with them. In this paper, we propose a new robust mean–variance approach that can control portfolio skewness and...

We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given time period. This requires a conditional valuation of the portfolio given the state of the world at a later time, a problem that is particularly challenging if the portfolio...

In this paper we study a portfolio execution problem in a discrete-time model in which orders can be submitted to a standard exchange and a dark pool. We model volatilities and correlations as stochastic processes and assume that trading at the standard exchange causes price impact. Orders sent...