Distributionally robust risk evaluation with a causality constraint and structural information

DOI10.1111/MAFI.12466MaRDI QIDQ6868294zbMATH OpenFDO

Authors Bingyan Han

Publication date 26 January 2026

Published in Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

portfolio selectionRademacher complexityrisk managementdistributional robustnessminimax optimizationcausal optimal transport

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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