Distributionally robust optimization under ambiguity across two layers
From MaRDI portal
Cites work
- A remark on the optimal transport between two probability measures sharing the same copula
- Ambiguity in portfolio selection
- An asymptotic study of systemic expected shortfall and marginal expected shortfall
- Convex Analysis
- Convex functions and their applications. A contemporary approach
- Copula measures and Sklar's theorem in arbitrary dimensions
- Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
- Distributionally robust optimization and robust statistics
- Distributionally Robust Stochastic Optimization with Wasserstein Distance
- Insurance pricing under ambiguity
- International portfolio management with affine policies
- Multiplicative Background Risk
- On allocations to portfolios of assets with statistically dependent potential risk returns
- On heterogeneity in the individual model with both dependent claim occurrences and severities
- Optimal coupling of multivariate distributions and stochastic processes
- Optimal Transport
- Ordering properties of generalized aggregation with applications
- Quantifying distributional model risk via optimal transport
- Randomly weighted sums of subexponential random variables with application to capital allocation
- Recovering best statistical guarantees via the empirical divergence-based distributionally robust optimization
- Robust international portfolio management
- Robust international portfolio optimization with worst-case mean-CVaR
- Robust optimization
- Stochastic orders of scalar products with applications
- Tail risk driven by investment losses and exogenous shocks
- The concept of comonotonicity in actuarial science and finance: theory.
- The Price of Robustness
- Worst-case moments under partial ambiguity
This page was built for publication: Distributionally robust optimization under ambiguity across two layers
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7314548)
