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20122026
most citedRobust Wasserstein Profile Inference and Applications to Machine Learning

270 citations · 352 across the 19 of their papers we have counts for

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q-fin.ST2014

Incorporating Views on Marginal Distributions in the Calibration of Risk Models

Santanu Dey, Sandeep Juneja, Karthyek R. A. Murthy

Entropy based ideas find wide-ranging applications in finance for calibrating models of portfolio risk as well as options pricing. The abstracted problem, extensively studied in th…