Distributionally Robust Multivariate Stochastic Cone Order Portfolio Optimization: Theory and Evidence from Borsa Istanbul

Distributionally Robust Multivariate Stochastic Cone Order Portfolio Optimization: Theory and Evidence from Borsa Istanbul

We introduce a novel portfolio optimization framework—Distributionally Robust Multivariate Stochastic Cone Order (DR-MSCO)—which integrates partial orders on random vectors with Wasserstein-metric ambiguity sets and adaptive cone structures to model multivariate investor preferences under distributi...

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Bibliographic Details
Main Authors: Larissa Margerata Batrancea, Mehmet Ali Balcı, Ömer Akgüller, Lucian Gaban
Format: Article
Language:English
Published: MDPI AG 2025-07-01
Series:Mathematics
Subjects:
distributionally robust optimization
multivariate stochastic cone order
Wasserstein ambiguity
portfolio optimization
Online Access:https://www.mdpi.com/2227-7390/13/15/2473
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