Distributionally Robust Portfolio Optimization under Marginal and Copula Ambiguity.
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| Title: | Distributionally Robust Portfolio Optimization under Marginal and Copula Ambiguity. |
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| Authors: | Fan, Zhengyang1, zfan3@gmu.edu, Ji, Ran1, rji2@gmu.edu, Lejeune, Miguel A.2, mlejeune@gwu.edu |
| Source: | Journal of Optimization Theory & Applications; Dec2024, Vol. 203 Issue 3, p2870-2907, 38p |
| Database: | Applied Science & Technology Source |
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