Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance
From MaRDI portal
Publication:6109914
DOI10.1137/22m1537746zbMath1520.91364arXiv2208.05656OpenAlexW4380358781MaRDI QIDQ6109914
Publication date: 4 July 2023
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2208.05656
sensitivity analysisoptimal stopping(adapted) Wasserstein distancerobust multiperiod stochastic optimization
Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10)
Related Items (2)
Computational methods for adapted optimal transport ⋮ An Integrated Transportation Distance between Kernels and Approximate Dynamic Risk Evaluation in Markov Systems
Cites Work
- On utility maximization in discrete-time financial market models
- Adapted Wasserstein distances and stability in mathematical finance
- Volatility misspecification, option pricing and superreplication via coupling
- Efficiency versus robustness: The case for minimum Hellinger distance and related methods
- Estimating processes in adapted Wasserstein distance
- Frameworks and results in distributionally robust optimization
- All adapted topologies are equal
- Kantorovich duality for general transport costs and applications
- Model uncertainty, recalibration, and the emergence of delta-vega hedging
- Sequential decisions under uncertainty and the maximum theorem
- Robust Sensitivity Analysis for Stochastic Systems
- A Distance For Multistage Stochastic Optimization Models
- Ambiguous Risk Measures and Optimal Robust Portfolios
- Version-Independence and Nested Distributions in Multistage Stochastic Optimization
- Robustness of the Black and Scholes Formula
- Computational aspects of robust optimized certainty equivalents and option pricing
- Regularization via Mass Transportation
- Quantifying Distributional Model Risk via Optimal Transport
- Ambiguity in portfolio selection
- A generalization of a problem of Steinhaus
- Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
This page was built for publication: Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance
