The paper proposes a new approach to model risk measurement based on the Wasserstein distance between two probability measures. It formulates the theoretical motivation resulting from the interpretation of fictitious adversary of robust risk management. The proposed approach accounts for all...

The allocation of assets across different markets is a crucial element of investment strategy. In this regard, stocks and bonds are two significant assets that form the backbone of multi-asset allocation. Among publicly offered funds the stock-bond hybrid fund gives investors a return while...