A New Data-Driven Distributionally Robust Portfolio Optimization Method Based on Wasserstein Ambiguity Set
暂无分享,去创建一个
Ningning Du | Yankui Liu | Ying Liu | Yankui Liu | Y. Liu | Ningning Du | Yankui Liu | Ying Liu
[1] Ying Liu,et al. Distributionally robust fuzzy project portfolio optimization problem with interactive returns , 2017, Appl. Soft Comput..
[2] Xiang Li,et al. Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature , 2018, Fuzzy Optim. Decis. Mak..
[3] Vishal Gupta,et al. Robust sample average approximation , 2014, Math. Program..
[4] Herbert E. Scarf,et al. A Min-Max Solution of an Inventory Problem , 1957 .
[5] Vishal Gupta,et al. Data-driven robust optimization , 2013, Math. Program..
[6] Daniel Kuhn,et al. Conic Programming Reformulations of Two-Stage Distributionally Robust Linear Programs over Wasserstein Balls , 2016, Oper. Res..
[7] Kenneth O. Kortanek,et al. Semi-Infinite Programming: Theory, Methods, and Applications , 1993, SIAM Rev..
[8] Bart L. MacCarthy,et al. Mean-VaR portfolio optimization: A nonparametric approach , 2017, Eur. J. Oper. Res..
[9] Li Yao,et al. Distributionally Robust Chance-Constrained Approximate AC-OPF With Wasserstein Metric , 2017, IEEE Transactions on Power Systems.
[10] Aurélie Thiele,et al. Data-driven portfolio management with quantile constraints , 2015, OR Spectrum.
[11] Mehmet Altinoz,et al. Systematic Initialization Approaches for Portfolio Optimization Problems , 2019, IEEE Access.
[12] Qifa Xu,et al. A large CVaR-based portfolio selection model with weight constraints , 2016 .
[13] Kuilin Zhang,et al. A distributionally robust optimization approach to reconstructing missing locations and paths using high-frequency trajectory data , 2019, Transportation Research Part C: Emerging Technologies.
[14] Peter W. Glynn,et al. Likelihood robust optimization for data-driven problems , 2013, Computational Management Science.
[15] Yongchao Liu,et al. Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods , 2017, Mathematical Programming.
[16] Daniel Kuhn,et al. Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations , 2015, Mathematical Programming.
[17] Alexandre M. Baptista,et al. A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model , 2004, Manag. Sci..
[18] Manfred Morari,et al. Distributionally robust expectation inequalities for structured distributions , 2017, Mathematical Programming.
[19] Daniel Kuhn,et al. Distributionally Robust Convex Optimization , 2014, Oper. Res..
[20] Shiji Song,et al. Distributionally robust scheduling on parallel machines under moment uncertainty , 2019, Eur. J. Oper. Res..
[21] J. Zakoian,et al. Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models , 2018, Journal of Econometrics.
[22] R. Rockafellar,et al. Optimization of conditional value-at risk , 2000 .
[23] Vishal Gupta,et al. Near-Optimal Bayesian Ambiguity Sets for Distributionally Robust Optimization , 2019, Manag. Sci..
[24] Ruiwei Jiang,et al. Data-driven chance constrained stochastic program , 2015, Mathematical Programming.
[25] Napat Rujeerapaiboon,et al. Robust Growth-Optimal Portfolios , 2016, Manag. Sci..
[26] Diego Klabjan,et al. Robust Stochastic Lot-Sizing by Means of Histograms , 2013 .
[27] Anja De Waegenaere,et al. Robust Solutions of Optimization Problems Affected by Uncertain Probabilities , 2011, Manag. Sci..
[28] Shinji Mizuno,et al. Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs , 2015, Comput. Manag. Sci..
[29] Yan-Kui Liu,et al. New Safe Approximation of Ambiguous Probabilistic Constraints for Financial Optimization Problem , 2019, Discrete Dynamics in Nature and Society.
[30] Cristiano Fernandes,et al. An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets , 2016, Eur. J. Oper. Res..
[31] Xun Li,et al. Data-driven robust mean-CVaR portfolio selection under distribution ambiguity , 2018, Quantitative Finance.
[32] Jean-Philippe Vial,et al. Robust Optimization , 2021, ICORES.
[33] Guotai Chi,et al. Data-Driven Robust Credit Portfolio Optimization for Investment Decisions in P2P Lending , 2019, Mathematical Problems in Engineering.
[34] Rui Gao,et al. Bayesian Inference for Optimal Risk Hedging Strategy Using Put Options With Stock Liquidity , 2019, IEEE Access.
[35] Yinyu Ye,et al. Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems , 2010, Oper. Res..
[36] Kresimir Mihic,et al. Wasserstein Distance and the Distributionally Robust TSP , 2018, Oper. Res..
[37] Jonas Schmitt. Portfolio Selection Efficient Diversification Of Investments , 2016 .