Cover Image

On Wasserstein Distributionally Robust Mean Semi-Absolute Deviation Portfolio Model: Robust Selection and Efficient Computation

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Zhou, Weimi, Liu, Yong-Jin
Format:	Preprint
Published:	2024
Subjects:	Optimization and Control
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Fast projection onto the intersection of simplex and singly linear constraint and its generalized Jacobian
by: Zhou, Weimi, et al.
Published: (2023)

Wasserstein Distributionally Robust Performative Prediction
by: Wang, Siyi, et al.
Published: (2026)

Avoiding Semi-Infinite Programming in Distributionally Robust Control Based on Mean-Variance Metrics
by: Shida, Yuma, et al.
Published: (2026)

Distributionally Robust Density Control with Wasserstein Ambiguity Sets
by: Pilipovsky, Joshua, et al.
Published: (2024)

Wasserstein Distributionally Robust Regret Optimization
by: Fiechtner, Lukas-Benedikt, et al.
Published: (2025)

Wasserstein Distributionally Robust Online Learning
by: Chen, Guixian, et al.
Published: (2026)

Wasserstein Distributionally Robust Quantile Regression
by: Zhang, Chunxu, et al.
Published: (2026)

Wasserstein Distributionally Robust Regret-Optimal Control in the Infinite-Horizon
by: Kargin, Taylan, et al.
Published: (2023)

Moment Relaxations for Data-Driven Wasserstein Distributionally Robust Optimization
by: Zhang, Shixuan, et al.
Published: (2025)

Enhancing Distributional Robustness in Principal Component Analysis by Wasserstein Distances
by: Wang, Lei, et al.
Published: (2025)

Wasserstein Distributionally Robust Control and State Estimation for Partially Observable Linear Systems
by: Jang, Minhyuk, et al.
Published: (2024)

Robustness to Model Approximation, Model Learning From Data, and Sample Complexity in Wasserstein Regular MDPs
by: Zhou, Yichen, et al.
Published: (2024)

Wasserstein Distributionally Robust Shallow Convex Neural Networks
by: Pallage, Julien, et al.
Published: (2024)

On Generalization and Regularization via Wasserstein Distributionally Robust Optimization
by: Wu, Qinyu, et al.
Published: (2022)

Distributionally Robust Airport Ground Holding Problem under Wasserstein Ambiguity Sets
by: Wu, Haochen, et al.
Published: (2023)

Two-Stage Distributionally Robust Conic Linear Programming over 1-Wasserstein Balls
by: Byeon, Geunyeong, et al.
Published: (2022)

Wasserstein Distributionally Robust Optimization: Theory and Applications in Machine Learning
by: Kuhn, Daniel, et al.
Published: (2019)

Wasserstein Distributionally Robust Optimization with Heterogeneous Data Sources
by: Rychener, Yves, et al.
Published: (2024)

Mean Robust Optimization
by: Wang, Irina, et al.
Published: (2022)

Distributionally and Adversarially Robust Logistic Regression via Intersecting Wasserstein Balls
by: Selvi, Aras, et al.
Published: (2024)

Tight Robustness Certificates and Wasserstein Distributional Attacks for Deep Neural Networks
by: Le, Bach C., et al.
Published: (2025)

Wasserstein Distributionally Robust Nash Equilibrium Seeking with Heterogeneous Data: A Lagrangian Approach
by: Wang, Zifan, et al.
Published: (2025)

Deadbeat Robust Model Predictive Control: Robustness without Computing Robust Invariant Sets
by: Schildbach, G.
Published: (2023)

Robustness Measures in Distributionally Robust Optimization
by: Gotoh, Jun-ya, et al.
Published: (2025)

Distributionally Robust Model Order Reduction for Linear Systems
by: Liu, Le, et al.
Published: (2025)

Wasserstein Distributionally Robust Regret Optimization for Reinforcement Learning from Human Feedback
by: Wang, Yikai, et al.
Published: (2026)

Computational Hardness of Static Distributionally Robust Markov Decision Processes
by: Li, Yan
Published: (2025)

Convergence and Bound Computation for Chance Constrained Distributionally Robust Models using Sample Approximation
by: Lei, Jiaqi, et al.
Published: (2024)

Exactly or Approximately Wasserstein Distributionally Robust Estimation According to Wasserstein Radii Being Small or Large
by: Ding, Xiao, et al.
Published: (2025)

U-OBCA: Uncertainty-Aware Optimization-Based Collision Avoidance via Wasserstein Distributionally Robust Chance Constraints
by: Wang, Zehao, et al.
Published: (2026)

Dynamic Coalition Portfolio Selection with Recursive Utility
by: Wang, Hanxiao, et al.
Published: (2024)

Distributionally Robust Optimization with Polynomial Robust Constraints
by: Nie, Jiawang, et al.
Published: (2023)

Computation of Robust Dynamic Operating Envelopes Based on Non-convex OPF for Unbalanced Distribution Networks
by: Liu, Bin, et al.
Published: (2024)

Distributionally Robust Optimization with Decision-Dependent Information Discovery
by: Jin, Qing, et al.
Published: (2024)

Robust Optimal Contribution Selection
by: Fogg, Josh, et al.
Published: (2024)

Distributionally Robust Kalman Filter
by: Jang, Minhyuk, et al.
Published: (2025)

Meta-Learning the Optimal Mixture of Strategies for Online Portfolio Selection
by: Shen, Jiayu, et al.
Published: (2025)

Portfolio Optimization of Indonesian Banking Stocks Using Robust Optimization
by: Winarty, Visca Tri, et al.
Published: (2025)

Robust Paths: Geometry and Computation
by: Hao, Hao, et al.
Published: (2025)

Wasserstein Distributionally Robust Risk-Sensitive Estimation via Conditional Value-at-Risk
by: Taha, Feras Al, et al.
Published: (2026)