Distributionally robust sparse portfolio selection

DOI10.3934/MFC.2023052MaRDI QIDQ7015241zbMATH OpenFDO

Authors Xiwen Sheng, Beibei Zhang, Y. H. Cheng, Dongqing Luan, Ying Ji

Publication date 10 March 2025

Published in Mathematical Foundations of Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/MFC.2023052

zbMATH Keywords

distributionally robustinfinite dimensional programmingLagrangian relaxationmixed-integer programmingsparse portfolioWasserstein distance

Mathematics Subject Classification ID

Mixed integer programming (90C11) Stochastic programming (90C15) Robustness in mathematical programming (90C17) Multi-objective and goal programming (90C29) Actuarial science and mathematical finance (91Gxx)

Cites work

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