1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.CP2022★ 1 cited
Distributionally Robust End-to-End Portfolio Construction
Giorgio Costa, Garud N. Iyengar
We propose an end-to-end distributionally robust system for portfolio construction that integrates the asset return prediction model with a distributionally robust portfolio optimi…
math.OC2021
Data-driven distributionally robust risk parity portfolio optimization
Giorgio Costa, Roy H. Kwon
We propose a distributionally robust formulation of the traditional risk parity portfolio optimization problem. Distributional robustness is introduced by targeting the discrete pr…