Sensitivity analysis of Wasserstein distributionally robust optimization problems

DOI10.1098/RSPA.2021.0176MaRDI QIDQ6985551zbMATH OpenFDO

Authors Daniel Bartl, Samuel Drapeau, Jan Obłój, Johannes Wiesel

Publication date 12 May 2025

Published in Proceedings of the Royal Society of London. A. Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1098/RSPA.2021.0176

zbMATH Keywords

non-parametric uncertaintyrobust stochastic optimizationsensitivity analysisuncertainty quantificationWasserstein metric

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20) Stochastic programming (90C15) Sensitivity, stability, parametric optimization (90C31) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(11)

• Sensitivity of functionals of McKean-Vlasov SDEs with respect to the initial distribution
• The recalibration conundrum: hedging valuation adjustment for callable claims
• A parametric approach to the estimation of convex risk functionals based on Wasserstein distance
• Distributionally robust optimization and robust statistics
• Robust Hedging GANs: Towards Automated Robustification of Hedging Strategies
• Distributionally robust optimization
• Risk measures based on weak optimal transport
• Strategies with minimal norm are optimal for expected utility maximisation under high model ambiguity
• Handling model risk with XVAs
• Numerical method for nonlinear Kolmogorov PDEs via sensitivity analysis
• Title not available (Why is no real title available?)

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