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Yichun Chi, Zuo Quan Xu & Sheng Chao Zhuang. (2022) Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk. North American Actuarial Journal 26:3, pages 351-382.
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Ran Ji, Miguel A. Lejeune & Zhengyang Fan. (2022) Distributionally robust portfolio optimization with linearized STARR performance measure. Quantitative Finance 22:1, pages 113-127.
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Ran Ji, Miguel Lejeune & Zhengyang Fan. (2019) Distributionally Robust Portfolio Optimization with STARR Performance Measure. SSRN Electronic Journal.
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