The paper introduces the worst-case portfolio optimization models within robust framework for maximizing return through either mean or median metrics. risk in is quantified by Gini difference. We put forward under mixed and interval+polyhedral uncertainty sets. proposed turn out to be linear integer programs set, semidefinite program set. performance comparison of on listed stocks Euro Stoxx 50...

The ensemble Kalman sampler (EKS) is a method introduced in [Garbuno-Inigo et al., SIAM J. Appl. Dyn. Syst., 19 (2020), pp. 412--441] to find approximately independent and identically distributed samples from target distribution. As of today, why the algorithm works how it converges mostly unknown. continuous version set coupled stochastic differential equations (SDEs). In this paper, we prove ...