Risk measures based on weak optimal transport
Michael Kupper, Max Nendel and Alessandro Sgarabottolo
| Year of publication: |
2025
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|---|---|
| Authors: | Kupper, Michael ; Nendel, Max ; Sgarabottolo, Alessandro |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 25.2025, 2, p. 163-180
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| Subject: | Martingale optimal transport | Model uncertainty | Neural network | Risk measure | Weak optimal transport | Theorie | Theory | Risiko | Risk | Mathematische Optimierung | Mathematical programming | Risikomaß | Neuronale Netze | Neural networks | Messung | Measurement | Martingal | Martingale |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2024.2403540 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015534080