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"

19 / 19 papers shown

Title
Data-Driven Sample Average Approximation with Covariate Information R. Kannan G. Bayraksan James R. Luedtke 381 46 0 27 Jul 2022
Statistical Analysis of Wasserstein Distributionally Robust Estimators Jose H. Blanchet Karthyek Murthy Viet Anh Nguyen 49 48 0 04 Aug 2021
Testing Group Fairness via Optimal Transport Projections Nian Si Karthyek Murthy Jose H. Blanchet Viet Anh Nguyen 63 32 0 02 Jun 2021
Heteroscedasticity-aware residuals-based contextual stochastic optimization R. Kannan G. Bayraksan James R. Luedtke 62 12 0 08 Jan 2021
Residuals-based distributionally robust optimization with covariate information R. Kannan G. Bayraksan James R. Luedtke 54 43 0 02 Dec 2020
Distributionally Robust Local Non-parametric Conditional Estimation Viet Anh Nguyen Fan Zhang Jose H. Blanchet Erick Delage Yinyu Ye OOD 130 26 0 12 Oct 2020
Stochastic Optimization Forests Nathan Kallus Xiaojie Mao 129 50 0 17 Aug 2020
Distributionally Robust Optimization with Correlated Data from Vector Autoregressive Processes Xialiang Dou M. Anitescu 25 18 0 08 Sep 2019
Wasserstein Distributionally Robust Optimization: Theory and Applications in Machine Learning Daniel Kuhn Peyman Mohajerin Esfahani Viet Anh Nguyen Soroosh Shafieezadeh-Abadeh OOD 64 394 0 23 Aug 2019
Dynamic optimization with side information Dimitris Bertsimas Christopher McCord Bradley Sturt 44 38 0 17 Jul 2019
From Predictions to Prescriptions in Multistage Optimization Problems Dimitris Bertsimas Christopher McCord 70 34 0 26 Apr 2019
Learning Models with Uniform Performance via Distributionally Robust Optimization John C. Duchi Hongseok Namkoong OOD 61 422 0 20 Oct 2018
Bootstrap Robust Prescriptive Analytics Dimitris Bertsimas Bart P. G. Van Parys 46 54 0 27 Nov 2017
Robust Wasserstein Profile Inference and Applications to Machine Learning Jose H. Blanchet Yang Kang Karthyek Murthy OOD 79 331 0 18 Oct 2016
Generalized Random Forests Susan Athey J. Tibshirani Stefan Wager 325 1,360 0 05 Oct 2016
Quantifying Distributional Model Risk via Optimal Transport Jose H. Blanchet Karthyek Murthy 78 426 0 05 Apr 2016
Data-driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations Peyman Mohajerin Esfahani Daniel Kuhn 80 1,661 0 19 May 2015
From Predictive to Prescriptive Analytics Dimitris Bertsimas Nathan Kallus 129 542 0 22 Feb 2014
On the rate of convergence in Wasserstein distance of the empirical measure N. Fournier Arnaud Guillin 179 1,143 0 07 Dec 2013