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Distributionally robust mean-absolute deviation portfolio optimization using wasserstein metric

Published Online: 2022-05-16

Published Print: 2023-11

Authors

Chen, Dali

Wu, Yuwei https://orcid.org/0000-0001-8717-4107
Li, Jingquan

Ding, Xiaohui

Chen, Caihua
Funding

Funding for this research was provided by:

National Natural Science Foundation of China (11871269, 71801124)

Natural Science Foundation of Jiangsu Province (BK20181259)
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Text and Data Mining valid from 2022-05-16

Version of Record valid from 2022-05-16
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Article History

Received: 29 August 2021

Accepted: 19 April 2022

First Online: 16 May 2022

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