Portfolio Optimization within a Wasserstein Ball

DOI10.1137/22m1496803zbMath1530.91535arXiv2012.04500OpenAlexW4388296094MaRDI QIDQ6091091

Silvana M. Pesenti, Sebastian Jaimungal

Publication date: 23 November 2023

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.04500

zbMATH Keywords

copularisk measuresWasserstein distanceportfolio allocation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)

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