A New Data-Driven Distributionally Robust Portfolio Optimization Method Based on Wasserstein Ambiguity Set
2021 ◽
Vol 9
◽
pp. 3174-3194
Ningning Du
◽
Yankui Liu
◽
Ying Liu
Wei Liu
◽
Li Yang
◽
Bo Yu
I. E. Bardakci
◽
C. M. Lagoa
2016 ◽
Vol 255
(3)
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pp. 961-970
◽
Betina Fernandes
◽
Alexandre Street
◽
Davi Valladão
◽
Cristiano Fernandes
Ran Ji
◽
Miguel Lejeune
◽
Zhengyang Fan
Ran Ji
◽
Miguel A. Lejeune
◽
Zhengyang Fan
William J. O'Neill
◽
Daniel DeLaurentis
Geng Deng
◽
Tim Dulaney
◽
Craig J. McCann
◽
Olivia Wang
C. Yin
◽
R. Perchet
◽
F. Soupé
2014 ◽
Vol 235
(1)
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pp. 28-37
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Iakovos Kakouris
◽
Berç Rustem
Fiona Kolbert
◽
Laurence Wormald