Distributionally robust mean-absolute deviation portfolio optimization using Wasserstein metric
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- scientific article; zbMATH DE number 7652673
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- scientific article; zbMATH DE number 3134565 (Why is no real title available?)
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Cited in
(6)- Distributionally robust portfolio optimization with linearized STARR performance measure
- Distributionally robust optimization with Wasserstein metric for multi-period portfolio selection under uncertainty
- Distributionally robust portfolio optimization with second-order stochastic dominance based on Wasserstein metric
- Sparse portfolio optimization via _1 over _2 regularization
- Fifty years of portfolio optimization
- Distributionally robust sparse portfolio selection
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