Distributionally robust mean-absolute deviation portfolio optimization using Wasserstein metric (Q6085747)
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scientific article; zbMATH DE number 7762778
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Distributionally robust mean-absolute deviation portfolio optimization using Wasserstein metric |
scientific article; zbMATH DE number 7762778 |
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Distributionally robust mean-absolute deviation portfolio optimization using Wasserstein metric (English)
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8 November 2023
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uncertainty modelling
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Wasserstein distributionally robust optimization
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MAD portfolio model
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nonconvex optimization
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