Non-concave Distributionally Robust Stochastic Control in a Discrete Time Finite Horizon Setting

By Ariel Neufeld, Julian Sester

Published 2024-04-09

Everscope rating

1732.6

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Distributionally Robust Optimization. Problem types: Stochastic Control, Optimization, Risk Management, Portfolio Optimization.

arXiv:2404.05230 · Code · Paper rankings

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