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Distributionally robust mean-absolute deviation portfolio optimization using wasserstein metric
Data uncertainty has a great impact on portfolio selection. Based on the popular mean-absolute deviation (MAD) model, we investigate how to make robust portfolio decisions. In this paper, a novel Wasserstein metric-based data-driven distributionally robust mean-absolute deviation (DR-MAD) model is p...
| Autores principales: | , , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2022
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9108021/ https://www.ncbi.nlm.nih.gov/pubmed/35601808 http://dx.doi.org/10.1007/s10898-022-01171-x |