Robust distortion risk metrics and portfolio optimization

By Peng Liu, Steven Vanduffel, Yi Xia

Published 2025-11-13

Everscope rating

2010.9

Relevance to quantitative trading

8 / 10

Implementation complexity

8 / 10

Reproducibility

3 / 5

About this paper

Methodology: Distributionally Robust Optimization with Concave Envelope and L2-Projection Techniques. Problem types: Portfolio Optimization, Risk Management, Optimization, Distributionally Robust Optimization, Model Risk Assessment.

arXiv:2511.08662 · Paper rankings

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