Portfolio Optimization within a Wasserstein Ball (Q6091091)

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scientific article; zbMATH DE number 7770149
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English
Portfolio Optimization within a Wasserstein Ball
scientific article; zbMATH DE number 7770149

    Statements

    title
    Portfolio Optimization within a Wasserstein Ball (English)
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    author
    Silvana M. Pesenti
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    Sebastian Jaimungal
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    publication date
    23 November 2023
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    zbMATH Keywords
    portfolio allocation
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    Wasserstein distance
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    risk measures
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    copula
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    cites work
    Q5658961
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    Q3234921
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    Q4552656
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    Q5253267
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    Q3281461
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    Optimal Transport
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    Identifiers

    arXiv ID
    2012.04500
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    DOI
    10.1137/22m1496803
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    Mathematics Subject Classification ID
    91G10
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    91G70
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    62H05
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    zbMATH DE Number
    7770149
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    OpenAlex ID
    W4388296094
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