Distributionally Robust Mean-Variance Portfolio Selection with Wasserstein Distances
Author:
Affiliation:
1. Department of Management Science and Engineering, Stanford University, Stanford, California 94305;
2. Department of Industrial Engineering and Operations Research, Columbia University, New York, New York 10027
Abstract
Publisher
Institute for Operations Research and the Management Sciences (INFORMS)
Subject
Management Science and Operations Research,Strategy and Management
Reference30 articles.
1. Approaching Mean-Variance Efficiency for Large Portfolios
2. Robust linear optimization under general norms
3. CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
4. Quantifying Distributional Model Risk via Optimal Transport
5. Robust portfolio selection using linear-matrix inequalities
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