Portfolio optimization using robust mean absolute deviation model : Wasserstein metric approach
Zohreh Hosseini-Nodeh, Rashed Khanjani-Shiraz, Panos M. Pardalos
| Year of publication: |
2023
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|---|---|
| Authors: | Hosseini-Nodeh, Zohreh ; Shiraz, Rashed Khanjani ; Pardalos, Panos M. |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 54.2023, p. 1-13
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| Subject: | Robust optimization | Wasserstein metric | Portfolio problem | Weighted mean absolute deviation | Worst-case distribution | Portfolio-Management | Portfolio selection | Robustes Verfahren | Robust statistics | Mathematische Optimierung | Mathematical programming | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2023.103735 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014472705