5 papers
Distributionally robust shortfall risk portfolio model with moment ambiguity sets
Yi Yang, Liu Yang, Suhan Zhong
This paper employs shortfall risk to measure portfolio risk. Assume stock returns follow polynomial relations with their influence factors. We propose a moment-based distributional…
Robust approximation of chance constrained optimization with polynomial perturbation
Bo Rao, Liu Yang, Suhan Zhong +1
This paper proposes a robust approximation method for solving chance constrained optimization (CCO) of polynomials. Assume the CCO is defined with an individual chance constraint t…
Global optimization for the portfolio selection model with high-order moments
Liu Yang, Yi Yang, Suhan Zhong
In this paper, we study the global optimality of polynomial portfolio optimization (PPO). The PPO is a kind of portfolio selection model with high-order moments and flexible risk p…
Distributionally Robust Optimization with Moment Ambiguity Sets
Jiawang Nie, Liu Yang, Suhan Zhong +1
This paper studies distributionally robust optimization (DRO) when the ambiguity set is given by moments for the distributions. The objective and constraints are given by polynomia…
Stochastic Polynomial Optimization
Jiawang Nie, Liu Yang, Suhan Zhong
This paper studies stochastic optimization problems with polynomials. We propose an optimization model with sample averages and perturbations. The Lasserre type Moment-SOS relaxati…