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q-fin.RM2020
Maximum Spectral Measures of Risk with given Risk Factor Marginal Distributions
Mario Ghossoub, Jesse Hall, David Saunders
We consider the problem of determining an upper bound for the value of a spectral risk measure of a loss that is a general nonlinear function of two factors whose marginal distribu…
q-fin.RM2020
On the Continuity of the Feasible Set Mapping in Optimal Transport
Mario Ghossoub, David Saunders
Consider the set of probability measures with given marginal distributions on the product of two complete, separable metric spaces, seen as a correspondence when the marginal distr…