Weight bound constraints in mean-variance models: a robust control theory foundation via machine learning
Bibliographic record
Abstract
Using an innovative representation of the weight bound constrained Markowitz's (Portfolio selection. J. Finance, 1952, 7, 77–91) mean-variance model, developed using the support vector data description, a machine learning algorithm introduced by Tax and Duin (Support vector data description. Mach. Learn., 2004, 54, 45–66), we provide an innovative interpretation of the robustness of these bound constraints in terms of robust control theory in the sense of Hansen and Sargent (Robust control and model uncertainty. Am. Econ. Rev., 2001, 91, 60–66). Building on these insights, firstly, we detail the method for quantifying the degree of misspecification in Markowitz's (1952) mean-variance model using its counterpart with weight upper bounds. Additionally, we show that this degree of misspecification is a decreasing piecewise linear function of the bound. Secondly, we empirically investigate two simulation-based methods, inspired by Michaud's (The Markowitz optimization enigma: Is ‘optimized’ optimal? Financ. Anal. J., 1989, 45, 31–42) resampling technique, for choosing the bound. Thirdly, we compare the robustness of the weight upper bound constrained mean-variance model with that of Goldfarb and Iyengar's (Robust portfolio selection problems. Math. Oper. Res., 2003, 28, 1–38) robust maximum return model.
Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.
How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.007 | 0.029 |
| Meta-epidemiology (narrow) | 0.002 | 0.001 |
| Meta-epidemiology (broad) | 0.002 | 0.002 |
| Bibliometrics | 0.002 | 0.002 |
| Science and technology studies | 0.001 | 0.004 |
| Scholarly communication | 0.003 | 0.005 |
| Open science | 0.003 | 0.004 |
| Research integrity | 0.003 | 0.004 |
| Insufficient payload (model declined to judge) | 0.003 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".