Zhengyang Fan

George Mason University

4400 University Drive

Fairfax, VA 22030

United States

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Scholarly Papers (1)

1.

Distributionally Robust Portfolio Optimization with Linearized STARR Performance Measure

Number of pages: 28 Posted: 18 Mar 2020 Last Revised: 24 Sep 2021
Ran Ji, Miguel Lejeune and Zhengyang Fan
George Mason University, George Washington University and George Mason University
Downloads 117 (304,214)

Abstract:

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Distributionally Robust Optimization, STARR Performance Measure, Wasserstein Metric, Conditional Value-at-Risk