Robust SGLD Algorithm for Solving Non-Convex Distributionally Robust Optimisation Problems

By Ariel Neufeld, Matthew Ng Cheng En, Ying Zhang

Published 2024-03-14

Everscope rating

1701

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Robust Stochastic Gradient Langevin Dynamics. Problem types: Portfolio Optimization, Risk Management, Distributionally Robust Optimization.

arXiv:2403.09532 · Paper rankings

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