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Distributionally robust portfolio optimization with second-order stochastic dominance based on wasserstein metric.
Zohreh Hosseini Nodeh
Rashed Khanjani Shiraz
Panos M. Pardalos
Published in:
Inf. Sci. (2022)
Keyphrases
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robust optimization
portfolio optimization
stochastic dominance
portfolio management
mathematical programming
portfolio selection
random variables
feature extraction
optimization methods
factor analysis
problems involving
decision theory
expert systems
risk management