Multi-period CVaR-mean portfolio robust optimization model based on Wasserstein ambiguity sets

Hongyun Wang, Chun Yan, Wei Liu 0051, Jiamei Liu. Multi-period CVaR-mean portfolio robust optimization model based on Wasserstein ambiguity sets. Expert Syst. Appl., 332:133572, 2027. [doi]

Abstract

Abstract is missing.