Author

Rong Gan

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Preprint Aug 2026

Certified High-Dimensional Wasserstein Robust Portfolio Optimization

A certified, scalable approximation for high-dimensional Wasserstein distributionally robust portfolio optimization is developed, obtaining a finite hyperplane--dual formulation over compact polyhedral supports under the one-norm ground metric and polyhedral portfolio constraints.

Chung-Han Hsieh, Rong Gan · 0 citations