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q-fin.PM2026
Comparing Mixture, Box, and Wasserstein Ambiguity Sets in Distributionally Robust Asset Liability Management
Alireza Ghahtarani, Ahmed Saif, Alireza Ghasemi
Asset Liability Management (ALM) represents a fundamental challenge for financial institutions, particularly pension funds, which must navigate the tension between generating compe…
q-fin.PM2021
Robust Portfolio Selection Problems: A Comprehensive Review
Alireza Ghahtarani, Ahmed Saif, Alireza Ghasemi
In this paper, we provide a comprehensive review of recent advances in robust portfolio selection problems and their extensions, from both operational research and financial perspe…