11 papers
Dynamic Portfolio Optimization under CVaR Constraints
Anran Hu, Silvana M. Pesenti, Xiaofei Shi
We study continuous-time dynamic portfolio optimization under a Conditional Value-at-Risk (CVaR) constraint on the investor's terminal loss. For a general class of convex trading o…
Adapted Law Invariance and Time-Consistent Dynamic Risk Measures
Mathias Beiglböck, Silvana M. Pesenti, Maxime Sylvestre
In static risk measurement, law invariance expresses the principle that the risk of a position should depend only on its distribution, and not on the particular probability space o…
Preference robust distortion risk measures
Carole Bernard, Silvana M. Pesenti
We introduce a framework for preference-robust decision making when preferences over risk are modelled through generalised distortion risk measures. Unlike distributional robustnes…
Dual Representation of Robust Risk Measures and Uncertainty Sets
Marlon R. Moresco, Marcelo Righi, Silvana M. Pesenti
We consider robust risk measures that arise as worst-case values of convex risk measures evaluated on uncertainty sets. We characterize continuity properties of robust risk measure…
Discrimination-insensitive pricing
Kathleen Miao, Silvana Pesenti
Rendering fair prices for financial, credit, and insurance products is of ethical and regulatory interest. In many jurisdictions, discriminatory covariates, such as gender and ethn…
Outperforming a Benchmark with -Bregman Wasserstein divergence
Silvana M. Pesenti, Thai Nguyen
We consider the problem of active portfolio management, where an investor seeks the portfolio with maximal expected utility of the difference between the terminal wealth of their s…