Distributionally Robust Mean-Variance Portfolio Selection with Wasserstein Distances

Markowitz, H. (1952) Portfolio selection , Journal of Finance, 7, pp. 77-91

1952

Earlier work this paper cites.

Lobo, M. and Boyd, S. (2000) The worst-case risk of a portfolio , https://web.stanford.edu/b̃oyd/papers/pdf/risk_bnd.pdf

2000

Earlier work this paper cites.

Petersen,I., James, M. and Dupuis, P. (2000) Minimax optimal control of stochastic uncertain systems with relative entropy constraints , IEEE Transactions on Automatic Control 45 (3), 398-412

2000

Earlier work this paper cites.

Costa, O. and Paiva, A. (2002) Robust portfolio selection using linear-matrix inequalities , Journal of Economic Dynamics and Control, 26 , pp. 889-909

2002

Earlier work this paper cites.

Ghaoui, L., Oks, M. and Oustry, F. (2003) Worst-case Value-at-Risk and robust portfolio optimization: A conic programming approach , Operations Research, 51, pp. 543-556

2003

Earlier work this paper cites.

Halldorsson, B. and Tutuncu. R. (2003) An interior-point method for a class of saddle-point problems , Journal of Optimization Theory and Applications, 116 , pp. 559-590

2003

Earlier work this paper cites.

Villani. C. (2003) Topics in optimal transportation . Graduate Studies in Mathmatics 58, Amer. Math. Soc., Providence, RI

2003

Earlier work this paper cites.

Pflug, G. and Wozabal, D. (2007) Ambiguity in portfolio selection , Quantitative Finance, 7, pp. 435-442

2007

Cited alongside, same era.

Hansen, L. and Sargent, T. (2008) Robustness . Princeton,N.J.:Princeton University Press

2008

Cited alongside, same era.

Delage, E. and Ye, Y. (2010) Data-Driven Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems , Operations Research, 58 , pp. 595-612

2010

Cited alongside, same era.

Goh, J. and Sim, M. (2010) Distributionally Robust Optimization and Its Tractable Approximations , Operations Research, 58 , pp. 595-612

2010

Cited alongside, same era.

Wozabal,D. (2012) A framework for optimization under ambiguity , Annals of Operations Research, 193 , pp. 21-47

Original

2012

Cited alongside, same era.

Wisemann, W., Kuhn, D., and Sim, M. (2014) Distributionally Robust Convex Optimization , Operations Research, 62 , pp. 1358-1376

2014

Later among the works it cites.

Blanchet, J., Kang, Y., and Murthy, K. (2016) Robust Wasserstein Profile Inference and Applications to Machine Learning , arXiv:https://arxiv.org/abs/1610.05627

Original

2016

Later among the works it cites.

Jiang, R. and Guan, Y. (2016) Data-Drive Chance Constrained Stochastic Program , Mathematical Programming, 158 , pp. 291-327

2016

Later among the works it cites.

Blanchet, J., and Kang, Y. (2017) Distributionally Robust Groupwise Regularization Estimator , arXiv:https://arxiv.org/abs/1705.04241

Original

2017

Later among the works it cites.

Blanchet, J., Kang, Y., Zhang, F., and Murthy, K. (2017) Data-driven Optimal Transport Cost Selection for Distributionally Robust Optimization , arXiv:https://arxiv.org/abs/1705.07152