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

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