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Distributionally robust mean-absolute deviation portfolio optimization using wasserstein metric.
Dali Chen
Yuwei Wu
Jingquan Li
Xiaohui Ding
Caihua Chen
Published in:
J. Glob. Optim. (2023)
Keyphrases
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robust optimization
portfolio optimization
mathematical programming
stochastic programming
portfolio management
portfolio selection
decision making
bi objective
genetic algorithm
source code
multistage
optimization methods
risk management