42 citations · 54 across the 26 of their papers we have counts for
30 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…
Dynamic Pareto Optima in Multi-Period Pure-Exchange Economies
Brandon Tam, Mario Ghossoub, Silvana M. Pesenti
We study a problem of optimal allocation in a discrete-time multi-period pure-exchange economy, where agents have preferences over stochastic endowment processes that are represent…
Distributional regression for seasonal data: an application to river flows
Samuel Perreault, Silvana M. Pesenti, Daniyal Shahzad
Risk assessment in casualty insurance, such as flood risk, traditionally relies on extreme-value methods that emphasizes rare events. These approaches are well-suited for character…
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.…
Bounds for Distributionally Robust Optimization Problems
Brandon Tam, Silvana M. Pesenti
We study distributionally robust optimization (DRO) problems with uncertainty sets consisting of high-dimensional random vectors that are close in the multivariate Wasserstein dist…
Model Combination in Risk Sharing under Ambiguity
Emma Kroell, Sebastian Jaimungal, Silvana M. Pesenti
We consider the problem of an agent who faces losses in continuous time over a finite time horizon and may choose to share some of these losses with a counterparty. The agent is un…
Constructing elicitable risk measures
Akif Ince, Marlon Moresco, Ilaria Peri +1
We provide a constructive way of defining new elicitable risk measures that are characterised by a multiplicative scoring function. We show that depending on the choice of the scor…
Optimal payoff under Bregman-Wasserstein divergence constraints
Silvana M. Pesenti, Steven Vanduffel, Yang Yang +1
We study optimal payoff choice for an expected utility maximizer under the constraint that their payoff is not allowed to deviate ``too much'' from a given benchmark. We solve this…
Robust Elicitable Functionals
Kathleen E. Miao, Silvana M. Pesenti
Elicitable functionals and (strictly) consistent scoring functions are of interest due to their utility of determining (uniquely) optimal forecasts, and thus the ability to effecti…
Kullback-Leibler Barycentre of Stochastic Processes
Sebastian Jaimungal, Silvana M. Pesenti
We consider the problem where an agent aims to combine the views and insights of different experts' models. Specifically, each expert proposes a diffusion process over a finite tim…
Optimal Transport Divergences induced by Scoring Functions
Silvana M. Pesenti, Steven Vanduffel
We employ scoring functions, used in statistics for eliciting risk functionals, as cost functions in the Monge-Kantorovich (MK) optimal transport problem. This gives raise to a ric…
Differential Quantile-Based Sensitivity in Discontinuous Models
Silvana M. Pesenti, Pietro Millossovich, Andreas Tsanakas
Differential sensitivity measures provide valuable tools for interpreting complex computational models used in applications ranging from simulation to algorithmic prediction. Takin…
Uncertainty Propagation and Dynamic Robust Risk Measures
Marlon Moresco, Mélina Mailhot, Silvana M. Pesenti
We introduce a framework for quantifying propagation of uncertainty arising in a dynamic setting. Specifically, we define dynamic uncertainty sets designed explicitly for discrete…
Optimal Robust Reinsurance with Multiple Insurers
Emma Kroell, Sebastian Jaimungal, Silvana M. Pesenti
We study a reinsurer who faces multiple sources of model uncertainty. The reinsurer offers contracts to insurers whose claims follow compound Poisson processes representing bot…
Risk Budgeting Allocation for Dynamic Risk Measures
Silvana M. Pesenti, Sebastian Jaimungal, Yuri F. Saporito +1
We define and develop an approach for risk budgeting allocation - a risk diversification portfolio strategy - where risk is measured using a dynamic time-consistent risk measure. F…
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…
Stressing Dynamic Loss Models
Emma Kroell, Silvana M. Pesenti, Sebastian Jaimungal
Stress testing, and in particular, reverse stress testing, is a prominent exercise in risk management practice. Reverse stress testing, in contrast to (forward) stress testing, aim…
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…
Robust Distortion Risk Measures
Carole Bernard, Silvana M. Pesenti, Steven Vanduffel
The robustness of risk measures to changes in underlying loss distributions (distributional uncertainty) is of crucial importance in making well-informed decisions. In this paper,…