Certified High-Dimensional Wasserstein Robust Portfolio Optimization

By Chung-Han Hsieh, Rong Gan

Published 2026-08-07

Everscope rating

1935.8

Relevance to quantitative trading

9 / 10

Implementation complexity

5 / 10

Reproducibility

4 / 5

About this paper

Methodology: Supporting-Hyperplane Approximation with Wasserstein Duality. Problem types: Portfolio Optimization, Optimization, Risk Management.

arXiv:2608.07032 · Paper rankings

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