4 citations · 6 across the 4 of their papers we have counts for
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q-fin.PM2020★ 1 cited
Distributionally Robust Profit Opportunities
Derek Singh, Shuzhong Zhang
This paper expands the notion of robust profit opportunities in financial markets to incorporate distributional uncertainty using Wasserstein distance as the ambiguity measure. Fin…
q-fin.PM2020★ 4 cited
Robust Arbitrage Conditions for Financial Markets
Derek Singh, Shuzhong Zhang
This paper investigates arbitrage properties of financial markets under distributional uncertainty using Wasserstein distance as the ambiguity measure. The weak and strong forms of…