24 citations · 40 across the 14 of their papers we have counts for
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q-fin.MF2021
Distributionally robust portfolio maximisation and marginal utility pricing in one period financial markets
Jan Obloj, Johannes Wiesel
We consider the optimal investment and marginal utility pricing problem of a risk averse agent and quantify their exposure to a small amount of model uncertainty. Specifically, we…
math.AP2021
Entropic Optimal Transport: Convergence of Potentials
Marcel Nutz, Johannes Wiesel
We study the potential functions that determine the optimal density for -entropically regularized optimal transport, the so-called Schrödinger potentials, and their co…
math.ST2021
Measuring association with Wasserstein distances
Johannes Wiesel
Let be a coupling between two probability measures and on a Polish space. In this article we propose and study a class of nonparametric measures of associatio…