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Wasserstein-Kelly Portfolios: A Robust Data-Driven Solution to Optimize Portfolio Growth
We introduce a robust variant of the Kelly portfolio optimization model, called the Wasserstein-Kelly portfolio optimization.
On Generalization and Regularization via Wasserstein Distributionally Robust Optimization
Two compelling explanations for the success are the generalization bounds derived from Wasserstein DRO and the equivalency between Wasserstein DRO and the regularization scheme commonly applied in machine learning.
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