Robustifying Conditional Portfolio Decisions via Optimal Transport

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Robustifying Conditional Portfolio Decisions via Optimal Transport

30 March 2021

Viet Anh Nguyen

Jose H. Blanchet

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Papers citing "Robustifying Conditional Portfolio Decisions via Optimal Transport"

9 / 9 papers shown

Title
Smart Surrogate Losses for Contextual Stochastic Linear Optimization with Robust Constraints H. Im Wyame Benslimane Paul Grigas 37 0 0 28 May 2025
Generative Conditional Distributions by Neural (Entropic) Optimal Transport Bao Nguyen Binh Nguyen Hieu Trung Nguyen Viet Anh Nguyen OT 81 2 0 04 Jun 2024
A Survey of Contextual Optimization Methods for Decision Making under Uncertainty Utsav Sadana A. Chenreddy Erick Delage Alexandre Forel Emma Frejinger Thibaut Vidal AI4CE 116 88 0 17 Jun 2023
Robust Data-driven Prescriptiveness Optimization Mehran Poursoltani Erick Delage A. Georghiou OffRL 46 1 0 09 Jun 2023
Wasserstein Distributionally Robust Optimization with Wasserstein Barycenters Tim Tsz-Kit Lau Han Liu OOD 91 2 0 23 Mar 2022
Adversarial Regression with Doubly Non-negative Weighting Matrices Tam Le Truyen V. Nguyen M. Yamada Jose H. Blanchet Viet Anh Nguyen 89 5 0 30 Sep 2021
Statistical Analysis of Wasserstein Distributionally Robust Estimators Jose H. Blanchet Karthyek Murthy Viet Anh Nguyen 67 48 0 04 Aug 2021
Distributionally Robust Prescriptive Analytics with Wasserstein Distance Tianyu Wang Ningyuan Chen Chun Wang 125 6 0 10 Jun 2021
Distributionally Robust Optimization: A Review Hamed Rahimian Sanjay Mehrotra 74 134 0 13 Aug 2019