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math.OC2026
Safe screening rules for portfolio optimization with linear and cardinality constraints
Nanari Wada, Shunnosuke Ikeda, Yuichi Takano +1
In portfolio optimization, a cardinality constraint, which limits the number of assets held, plays a key role in cutting down monitoring and transaction costs. However, the resulti…
math.OC2026
Posterior and Likelihood Sensitivity in Bayesian Distributionally Robust Optimization
Jun-ya Gotoh, Andrew E. B. Lim, Michael Jong Kim
We introduce the notion of worst-case posterior and worst-case likelihood sensitivity. These measure, respectively, the sensitivity of the expected cost to worst-case perturbations…