Polyhedral Coherent Risk Measure and Distributionally Robust Portfolio Optimization
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Computer Science
Link
https://link.springer.com/content/pdf/10.1007/s10559-023-00545-7.pdf
Reference19 articles.
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2. W. Wiesemann, D. Kuhn, M. Sim, “Distributionally robust convex optimization,” Oper. Research, Vol. 62, No. 6, 1358–1376 (2014). https://doi.org/10.1287/opre.2014.1314.
3. A. Shapiro, “Distributionally robust stochastic programming,” SIAM J. on Optimiz., Vol. 27, No. 4, 2258–2275 (2017). https://doi.org/10.1137/16M1058297.
4. P. Mohajerin Esfahani and D. Kuhn, “Data-driven distributionally robust optimization using the Wasserstein metric: Performance guarantees and tractable reformulations,” Mathem. Program., Vol. 171, No. 1–2, 115–166 (2018). https://doi.org/10.1007/s10107-017-1172-1.
5. D. Bertsimas, M. Sim, and M. Zhang, “Adaptive distributionally robust optimization,” Management Sci., Vol. 65, No. 2, 604–618 (2018). https://doi.org/10.1287/mnsc.2017.2952.
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