High-Dimensional Distributionally Robust Mean-Variance Efficient Portfolio Selection
This paper introduces a novel distributionally robust mean-variance portfolio estimator based on the projection robust Wasserstein (PRW) distance. This approach addresses the issue of increasing conservatism of portfolio allocation strategies due to high-dimensional data. Our simulation results show...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-03-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/11/5/1272 |