24 citations · 40 across the 14 of their papers we have counts for
6 papers · 1 filter
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*…
Stability of Schrödinger Potentials and Convergence of Sinkhorn's Algorithm
Marcel Nutz, Johannes Wiesel
We study the stability of entropically regularized optimal transport with respect to the marginals. Given marginals converging weakly, we establish a strong convergence for the Sch…