no code implementations • 29 Jun 2023 • Xin Hai, Gregoire Loeper, Kihun Nam
We study robust mean-variance optimization in multiperiod portfolio selection by allowing the true probability measure to be inside a Wasserstein ball centered at the empirical probability measure.
no code implementations • 27 Jun 2023 • Xin Hai, Kihun Nam
We refer to recent inference methodology and formulate a framework for solving the distributionally robust optimization problem, where the true probability measure is inside a Wasserstein ball around the empirical measure and the radius of the Wasserstein ball is determined by the empirical data.
