Distributionally robust portfolio optimization with second-order stochastic dominance based on Wasserstein metric (Q6125219)
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scientific article; zbMATH DE number 7830725
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Distributionally robust portfolio optimization with second-order stochastic dominance based on Wasserstein metric |
scientific article; zbMATH DE number 7830725 |
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Distributionally robust portfolio optimization with second-order stochastic dominance based on Wasserstein metric (English)
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11 April 2024
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Wasserstein metric
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portfolio optimization
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semidefinite programming
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second-order stochastic dominance
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second-order conic programming
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ambiguity
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semi-infinite programming
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cutting surface method
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