30 citations · 138 across the 35 of their papers we have counts for
Showing q-fin.PMShow all
2 papers · 1 filter
q-fin.PM2021
Mean-Covariance Robust Risk Measurement
Viet Anh Nguyen, Soroosh Shafiee, Damir Filipović +1
We introduce a universal framework for mean-covariance robust risk measurement and portfolio optimization. We model uncertainty in terms of the Gelbrich distance on the mean-covari…
q-fin.PM2021★ 9 cited
Robustifying Conditional Portfolio Decisions via Optimal Transport
Viet Anh Nguyen, Fan Zhang, Shanshan Wang +3
We propose a data-driven portfolio selection model that integrates side information, conditional estimation and robustness using the framework of distributionally robust optimizati…