We introduce a universal framework for mean-covariance robust risk measurement andportfolio optimization.We model … population distribution.Our approach is related to the theory of optimal transport and exhibits superior statistical … andcomputational properties than existing models. We find that, for a large class of risk measures,mean-covariance robust portfolio …

incorporating time-series behaviors of asset returns on the basis of coherent risk minimization. Analyzing the dual form of our … robust optimization. For this optimization, we prove that the worst-case coherent risk measure can be decomposed into the … empirical risk measure and the penalty terms. Numerical results demonstrate that when the number of assets is small, linear …