Distributionally robust optimization with Wasserstein metric for multi-period portfolio selection under uncertainty

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

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

Business, Decision Sciences, Finance +16

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

Natural Sciences, Finance, Mathematics +17

A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms

Victor DeMiguel, Lorenzo Garlappi, Francisco J. Nogales et al. · Management Science · 2009 · 1.1K citations

Business, Finance, Financial Management +17

Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation

Duan Li, Wan‐Lung Ng · Mathematical Finance · 2000 · 1K citations

Business, Finance, Financial Management +17

Heuristics for cardinality constrained portfolio optimisation

Tun-Jen Chang, Nigel Meade, J. E. Beasley et al. · Computers & Operations Research · 2000 · 928 citations

Business, Decision Sciences, Investment Management +11