Data-Driven Distributionally Robust CVaR Portfolio Optimization Under A Regime-Switching Ambiguity Set
Published Online:19 Jun 2023https://doi.org/10.1287/msom.2023.1229
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Volume 25, Issue 5
September-October 2023
Pages 1623-1998, C2
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- Received:February 28, 2022
- Accepted:April 18, 2023
- Published Online:June 19, 2023
Copyright © 2023, INFORMS
Cite as
Chi Seng Pun, Tianyu Wang, Zhenzhen Yan (2023) Data-Driven Distributionally Robust CVaR Portfolio Optimization Under A Regime-Switching Ambiguity Set. Manufacturing & Service Operations Management 25(5):1779-1795.
https://doi.org/10.1287/msom.2023.1229
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The authors thank the department editor, the associate editor, and the reviewers for valuable comments and suggestions. The authors appreciate Guan Hoe Tan for his preliminary experimental results.
