Concepedia

Distributionally robust portfolio optimization with second-order stochastic dominance based on wasserstein metric

Zohreh Hosseini-Nodeh, Rashed Khanjani-Shiraz, Pãnos M. Pardalos

Information Sciences · 2022 · 25 citations · 38 references

DOI

Concepts

References

38

Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems

Erick Delage, Yinyu Ye · Operations Research · 2010 · 1.9K citations

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Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming

A. L. Soyster · Operations Research · 1973 · 1.8K citations

, , +13

Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations

Peyman Mohajerin Esfahani, Daniel Kühn · Infoscience (Ecole Polytechnique Fédérale de Lausanne) · 2017 · 1.8K citations · Full text

, , +17

Second-order cone programming

Farid Alizadeh, Donald Goldfarb · Mathematical Programming · 2003 · 1.5K citations

Distributionally Robust Convex Optimization

Wolfram Wiesemann, Daniel Kühn, Melvyn Sim · Operations Research · 2014 · 947 citations · Full text

, , +12