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Finite-sample guarantees for Wasserstein distributionally robust optimization : breaking the curse of dimensionality

Gao, Rui - In: Operations research 71 (2023) 6, pp. 2291-2306

Persistent link: https://www.econbiz.de/10014445041

Optimal robust policy for feature-based newsvendor

Zhang, Luhao; Yang, Jincheng; Gao, Rui - In: Management science : journal of the Institute for … 70 (2024) 4, pp. 2315-2329

Persistent link: https://www.econbiz.de/10014519977

Reliable off-policy evaluation for reinforcement learning

Wang, Jie; Gao, Rui; Zha, Hongyuan - In: Operations research 72 (2024) 2, pp. 699-716

Persistent link: https://www.econbiz.de/10014520884

Wasserstein distributionally robust optimization and variation regularization

Gao, Rui; Chen, Xi; Kleywegt, Anton J. - In: Operations research 72 (2024) 3, pp. 1177-1191

Persistent link: https://www.econbiz.de/10014557557

Distributionally robust stochastic optimization with Wasserstein distance

Gao, Rui; Kleywegt, Anton - In: Mathematics of operations research 48 (2023) 2, pp. 603-655

Persistent link: https://www.econbiz.de/10014314839

Robust Longevity Risk Management

Li, Hong - 2015

We consider longevity risk hedging problems, where survivor swaps are available as hedging instruments. As objective functions we consider the mean-variance and the mean-conditional-value-at-risk of the hedged liabilities, evaluated using an estimated probability law governing the mortality...

Persistent link: https://www.econbiz.de/10013027482

Robust mean-variance hedging of longevity risk

Li, Hong; De Waegenaere, Anja; Melenberg, Bertrand - In: The journal of risk and insurance : the journal of the … 84 (2017), pp. 459-475

Persistent link: https://www.econbiz.de/10011685211

Robust information share measures with an application on the international crude oil markets

Li, Hong; Shi, Yanlin - In: The journal of futures markets 42 (2022) 4, pp. 555-579

Persistent link: https://www.econbiz.de/10013187561