"Distributionally robust mean-absolute deviation portfolio optimization ..."

Dali Chen et al. (2023)

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DOI: 10.1007/S10898-022-01171-X

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type: Journal Article

metadata version: 2024-01-24

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Dali Chen, Yuwei Wu, Jingquan Li, Xiaohui Ding, Caihua Chen:
Distributionally robust mean-absolute deviation portfolio optimization using wasserstein metric. J. Glob. Optim. 87(2): 783-805 (2023)

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