2 papers
q-fin.PM2023
Wasserstein-Kelly Portfolios: A Robust Data-Driven Solution to Optimize Portfolio Growth
Jonathan Yu-Meng Li
We introduce a robust variant of the Kelly portfolio optimization model, called the Wasserstein-Kelly portfolio optimization. Our model, taking a Wasserstein distributionally robus…
math.OC2022
A General Wasserstein Framework for Data-driven Distributionally Robust Optimization: Tractability and Applications
Jonathan Yu-Meng Li, Tiantian Mao
Data-driven distributionally robust optimization is a recently emerging paradigm aimed at finding a solution that is driven by sample data but is protected against sampling errors.…