Portfolio optimization using robust mean absolute deviation model : Wasserstein metric approach
Year of publication: |
2023
|
---|---|
Authors: | Hosseini-Nodeh, Zohreh ; Shiraz, Rashed Khanjani ; Pardalos, Panos M. |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 54.2023, p. 1-13
|
Subject: | Robust optimization | Wasserstein metric | Portfolio problem | Weighted mean absolute deviation | Worst-case distribution | Portfolio-Management | Portfolio selection | Theorie | Theory | Robustes Verfahren | Robust statistics | Mathematische Optimierung | Mathematical programming |
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