Distributionally robust optimization with Wasserstein metric for multi-period portfolio selection under uncertainty
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Publication:6039453
DOI10.1016/j.apm.2022.12.037zbMath1510.91155MaRDI QIDQ6039453
Publication date: 5 May 2023
Published in: Applied Mathematical Modelling (Search for Journal in Brave)
Portfolio theory (91G10) Optimal transportation (49Q22) Robustness in mathematical programming (90C17)
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