Distributionally robust portfolio optimization with second-order stochastic dominance based on Wasserstein metric (Q6125219)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Distributionally robust portfolio optimization with second-order stochastic dominance based on Wasserstein metric |
scientific article; zbMATH DE number 7830725
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Distributionally robust portfolio optimization with second-order stochastic dominance based on Wasserstein metric |
scientific article; zbMATH DE number 7830725 |
Statements
Distributionally robust portfolio optimization with second-order stochastic dominance based on Wasserstein metric (English)
0 references
11 April 2024
0 references
Wasserstein metric
0 references
portfolio optimization
0 references
semidefinite programming
0 references
second-order stochastic dominance
0 references
second-order conic programming
0 references
ambiguity
0 references
semi-infinite programming
0 references
cutting surface method
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
