Wei Liu, Li Yang, Bo Yu. KDE distributionally robust portfolio optimization with higher moment coherent risk. Annals OR, 307(1):363-397, 2021. [doi]
@article{LiuYY21-7, title = {KDE distributionally robust portfolio optimization with higher moment coherent risk}, author = {Wei Liu and Li Yang and Bo Yu}, year = {2021}, doi = {10.1007/s10479-021-04171-4}, url = {https://doi.org/10.1007/s10479-021-04171-4}, researchr = {https://researchr.org/publication/LiuYY21-7}, cites = {0}, citedby = {0}, journal = {Annals OR}, volume = {307}, number = {1}, pages = {363-397}, }