Distributionally robust mean-absolute deviation portfolio optimization using Wasserstein metric

DOI10.1007/s10898-022-01171-xzbMath1528.90295OpenAlexW4280632101MaRDI QIDQ6085747

Yuwei Wu, Xiaohui Ding, Da-Li Chen, Caihua Chen, Jing-Quan Li

Publication date: 8 November 2023

Published in: Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10898-022-01171-x

zbMATH Keywords

nonconvex optimizationuncertainty modellingMAD portfolio modelWasserstein distributionally robust optimization

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Nonconvex programming, global optimization (90C26) Stochastic programming (90C15)

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