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A New Data-Driven Distributionally Robust Portfolio Optimization Method Based on Wasserstein Ambiguity Set.
Ningning Du
Yankui Liu
Ying Liu
Published in:
IEEE Access (2021)
Keyphrases
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optimization method
data driven
optimization algorithm
optimization methods
evolutionary algorithm
small number
optimization procedure
nonlinear optimization
decision making
multi objective
simulated annealing
neural network
differential evolution
particle swarm
optimization strategy