Quantifying distributional model risk via optimal transport
Jose Blanchet, Karthyek Murthy
| Year of publication: |
2019
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|---|---|
| Authors: | Blanchet, Jose ; Murthy, Karthyek |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 44.2019, 2, p. 565-600
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| Subject: | model risk | distributionally robust optimization using Wasserstein distances | DRO | Kullback-Liebler divergence | ruin probabilities | diffusion approximations | Theorie | Theory | Statistische Verteilung | Statistical distribution | Risiko | Risk | Risikomodell | Risk model | Robustes Verfahren | Robust statistics | Wahrscheinlichkeitsrechnung | Probability theory | Risikomanagement | Risk management | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2018.0936 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012028635