"Distributionally Robust Mean-Variance Portfolio Selection with Wasserstein ..."

Jose H. Blanchet, Lin Chen, Xun Yu Zhou (2022)

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DOI: 10.1287/MNSC.2021.4155

access: closed

type: Journal Article

metadata version: 2022-12-05

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Jose H. Blanchet, Lin Chen, Xun Yu Zhou:
Distributionally Robust Mean-Variance Portfolio Selection with Wasserstein Distances. Manag. Sci. 68(9): 6382-6410 (2022)

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