Distributionally robust multi-period portfolio selection subject to bankruptcy constraints

<p style='text-indent:20px;'>An optimization problem with moments information which suffers from distributional uncertainty can be handled through distributionally robust optimization. In this paper, we will consider multi-period portfolio selection since only moment of portfolios gathered in practice. We two different scenarios. One is that obtained exactly and the other one also uncertain. For scenarios, show how to transform corresponding into a second order cone (SOCP) easily solved by existing methods. Some numerical experiments are presented demonstrate effectiveness our proposed method.</p>