KDE distributionally robust portfolio optimization with higher moment coherent risk

Wei Liu, Li Yang, Bo Yu. KDE distributionally robust portfolio optimization with higher moment coherent risk. Annals OR, 307(1):363-397, 2021. [doi]

Authors

Wei Liu

This author has not been identified. Look up 'Wei Liu' in Google

Li Yang

This author has not been identified. Look up 'Li Yang' in Google

Bo Yu

This author has not been identified. Look up 'Bo Yu' in Google