Distributionally robust profit opportunities

DOI10.1016/J.ORL.2020.12.001MaRDI QIDQ2661601zbMATH OpenOpenAlexFDO

Authors Derek Singh, Shuzhong Zhang

Publication date 7 April 2021

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2006.11279

zbMATH Keywords

distributionally robust optimizationLagrangian dualityrobust profit opportunitiesSharpe ratioWasserstein distance

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

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Cites work

• Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
• Data-driven risk-averse stochastic optimization with Wasserstein metric
• New Results on Quadratic Minimization
• On Cones of Nonnegative Quadratic Functions
• Optimization methods in finance.
• Quantifying distributional model risk via optimal transport
• Robust profit opportunities in risky financial portfolios
• Robust Wasserstein profile inference and applications to machine learning
• Stability of no-arbitrage property under model uncertainty
• Wasserstein distance and the distributionally robust TSP
• When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio

Cited in

(1)

• Tight bounds for a class of data-driven distributionally robust risk measures

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