24 citations · 40 across the 14 of their papers we have counts for
18 papers
Strategies with minimal norm are optimal for expected utility maximization under high model ambiguity
Laurence Carassus, Johannes Wiesel
We investigate an expected utility maximization problem under model uncertainty in a one-period financial market. We capture model uncertainty by replacing the baseline model $\mat…
The out-of-sample prediction error of the square-root-LASSO and related estimators
José Luis Montiel Olea, Cynthia Rush, Amilcar Velez +1
We study the classical problem of predicting an outcome variable, , using a linear combination of a -dimensional covariate vector, . We are interested in linear p…
Sensitivity of multiperiod optimization problems in adapted Wasserstein distance
Daniel Bartl, Johannes Wiesel
We analyze the effect of small changes in the underlying probabilistic model on the value of multi-period stochastic optimization problems and optimal stopping problems. We work in…
An optimal transport based characterization of convex order
Johannes Wiesel, Erica Zhang
For probability measures and define the cost functionals \begin{align*} C(μ,ρ):=\sup_{π\in Π(μ,ρ)} \int \langle x,y\rangle\, π(dx,dy),\quad C(ν,ρ):=\sup_{π\in Π(ν,ρ)} \in…
Limits of Semistatic Trading Strategies
Marcel Nutz, Johannes Wiesel, Long Zhao
We show that pointwise limits of semistatic trading strategies in discrete time are again semistatic strategies. The analysis is carried out in full generality for a two-period mod…
Martingale Schrödinger Bridges and Optimal Semistatic Portfolios
Marcel Nutz, Johannes Wiesel, Long Zhao
In a two-period financial market where a stock is traded dynamically and European options at maturity are traded statically, we study the so-called martingale Schrödinger bridge Q*…