Distributionally robust portfolio optimization with second-order stochastic dominance based on Wasserstein metric
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Publication:6125219
DOI10.1016/j.ins.2022.09.039OpenAlexW4297902595MaRDI QIDQ6125219
Rashed Khanjani Shiraz, Zohreh Hosseini Nodeh, Panos M. Pardalos
Publication date: 11 April 2024
Published in: Information Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ins.2022.09.039
Wasserstein metricsemidefinite programmingsemi-infinite programmingportfolio optimizationambiguitysecond-order stochastic dominancesecond-order conic programmingcutting surface method
Mathematical programming (90Cxx) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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