A minimax approach to duality for linear distributional sensitivity testing
Author:
Affiliation:
1. Department of Mathematics and Applied Mathematics, University of Pretoria, Pretoria, South Africa
Funder
National Research Foundation
Publisher
Informa UK Limited
Link
https://www.tandfonline.com/doi/pdf/10.1080/02331934.2024.2358410
Reference11 articles.
1. Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
2. Distributionally Robust Stochastic Optimization with Wasserstein Distance
3. Quantifying Distributional Model Risk via Optimal Transport
4. Computational aspects of robust optimized certainty equivalents and option pricing
5. Feng Y Schlögl E. Model risk measurement under Wasserstein distance. arXiv preprint; 2019. https://arxiv.org/abs/1809.03641.
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