Distributionally robust portfolio optimization with linearized STARR performance measure
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Cited in
(10)- Distributionally robust end-to-end portfolio construction
- Distributionally robust optimization with Wasserstein metric for multi-period portfolio selection under uncertainty
- Robust portfolio selection with distributional uncertainty and integer constraints
- Introduction to the Proceedings of the 15th International Conference on Stochastic Programming 2019 (ICSP 2019): discrete stochastic optimization in finance
- A new distributionally robust reward-risk model for portfolio optimization
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- A distributionally robust chance-constrained model for humanitarian relief network design
- Distributionally robust portfolio optimization under marginal and copula ambiguity
- KDE distributionally robust portfolio optimization with higher moment coherent risk
- Sparse portfolio selection via topological data analysis based clustering
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