2 papers
math.OC2026
Certified High-Dimensional Wasserstein Robust Portfolio Optimization
Chung-Han Hsieh, Rong Gan
We develop a certified, scalable approximation for high-dimensional Wasserstein distributionally robust portfolio optimization. For expected-utility maximization under order-one Wa…
math.OC2025
Is Noisy Data a Blessing in Disguise? A Distributionally Robust Optimization Perspective
Chung-Han Hsieh, Rong Gan
Noisy data are often viewed as a challenge for decision-making. This paper studies a distributionally robust optimization (DRO) that shows how such noise can be systematically inco…