Distributionally Robust Mean-Variance Portfolio Selection with Wasserstein Distances.
Jose H. BlanchetLin ChenXun Yu ZhouPublished in: Manag. Sci. (2022)
Keyphrases
- portfolio selection
- robust optimization
- portfolio optimization
- multistage stochastic
- stochastic programming
- mathematical programming
- portfolio management
- lot sizing
- multiple objectives
- financial markets
- simulated annealing
- decision theory
- transaction costs
- dynamic programming
- case based reasoning
- linear programming