Distributionally robust profit opportunities (Q2661601): Difference between revisions

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-.1016/j.orl.2020.12.001
@@ Property / DOI: 10.1016/j.orl.2020.12.001 / rank @@
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+W3113306348
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@@ Property / cites work @@
+Robust Wasserstein profile inference and applications to machine learning
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+Quantifying Distributional Model Risk via Optimal Transport
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+Wasserstein Distance and the Distributionally Robust TSP
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+When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio
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+Optimization Methods in Finance
@@ Property / cites work: Optimization Methods in Finance / rank @@
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+Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
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+Stability of no-arbitrage property under model uncertainty
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+Robust profit opportunities in risky financial portfolios
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+On Cones of Nonnegative Quadratic Functions
@@ Property / cites work: On Cones of Nonnegative Quadratic Functions / rank @@
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+New Results on Quadratic Minimization
@@ Property / cites work: New Results on Quadratic Minimization / rank @@
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+Data-driven risk-averse stochastic optimization with Wasserstein metric
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@@ Property / DOI @@
+.1016/J.ORL.2020.12.001
@@ Property / DOI: 10.1016/J.ORL.2020.12.001 / rank @@
+Normal rank