3 papers
stat.ML2025
Marginal Fairness: Fair Decision-Making under Risk Measures
Fei Huang, Silvana M. Pesenti
This paper introduces marginal fairness, a new individual fairness notion for equitable decision-making in the presence of protected attributes such as gender, race, and religion.…
q-fin.PM2023
Risk Budgeting Portfolios from Simulations
Bernardo Freitas Paulo da Costa, Silvana M. Pesenti, Rodrigo S. Targino
Risk budgeting is a portfolio strategy where each asset contributes a prespecified amount to the aggregate risk of the portfolio. In this work, we propose an efficient numerical fr…
math.PR2022
Minimal Kullback-Leibler Divergence for Constrained Lévy-Itô Processes
Sebastian Jaimungal, Silvana M. Pesenti, Leandro Sánchez-Betancourt
Given an n-dimensional stochastic process X driven by P-Brownian motions and Poisson random measures, we seek the probability measure Q, with minimal relative entropy to P, such th…