scientific article; zbMATH DE number 7652673

MaRDI QIDQ5873991zbMATH OpenFDO

Authors Jingnan Chen, Lei Sun, Ning Zhang

Publication date 10 February 2023

Full work available at URL http://yokohamapublishers.jp/online2/oppjo/vol18/p679.html

zbMATH Keywords

\(\ell_1\) regularizationdistributionally robust optimizationportfolio selectiontransaction costsworst-case optimized certainty equivalence

Mathematics Subject Classification ID

Semidefinite programming (90C22) Convex programming (90C25) Portfolio theory (91G10)

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Cited in

(16)

• An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
• Portfolio selection under model uncertainty: a penalized moment-based optimization approach
• KDE distributionally robust portfolio optimization with higher moment coherent risk
• Large-scale portfolio allocation under transaction costs and model uncertainty
• Robust multiperiod portfolio management in the presence of transaction costs
• Log-robust portfolio management after transaction costs
• Robustness to dependency in portfolio optimization using overlapping marginals
• A linearizing method for distributionally robust optimization problem and applications
• A maximum entropy method for a robust portfolio problem
• A conic programming approach for robust portfolio optimization problems
• Technical note: A robust perspective on transaction costs in portfolio optimization
• Robust strategy of dynamic portfolio with transaction cost
• Distributionally robust end-to-end portfolio construction
• Distributionally robust mean-absolute deviation portfolio optimization using Wasserstein metric
• Regularized distributionally robust optimization with application to the index tracking problem
• Random credibilitic portfolio selection problem with different convex transaction costs

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