Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
نویسندگان
چکیده
منابع مشابه
Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
Reward-risk ratio optimization is an important mathematical approach in finance. We revisit the model by considering a situation where an investor does not have complete information on the distribution of the underlying uncertainty and consequently a robust action is taken to mitigate the risk arising from ambiguity of the true distribution. We consider a distributionally robust reward-risk rat...
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Reward-risk ratio optimization is an important mathematical approach in finance [54]. In this paper, we revisit the model by considering a situation where an investor does not have complete information on the distribution of the underlying uncertainty and consequently a robust action is taken against the risk arising from ambiguity of the true distribution. We propose a distributionally robust ...
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ژورنال
عنوان ژورنال: SIAM Journal on Optimization
سال: 2017
ISSN: 1052-6234,1095-7189
DOI: 10.1137/16m106114x