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q-fin.MF2023
Data-driven Multiperiod Robust Mean-Variance Optimization
Xin Hai, Gregoire Loeper, Kihun Nam
We study robust mean-variance optimization in multiperiod portfolio selection by allowing the true probability measure to be inside a Wasserstein ball centered at the empirical pro…
q-fin.MF2023
Robust Wasserstein Optimization and its Application in Mean-CVaR
Xin Hai, Kihun Nam
We refer to recent inference methodology and formulate a framework for solving the distributionally robust optimization problem, where the true probability measure is inside a Wass…