Distributionally robust profit opportunities

DOI10.1016/j.orl.2020.12.001OpenAlexW3113306348MaRDI QIDQ2661601

Derek Singh, Shu-Zhong 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

Sharpe ratioWasserstein distanceLagrangian dualitydistributionally robust optimizationrobust profit opportunities

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Related Items (1)

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

Cites Work

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

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