42 citations · 54 across the 26 of their papers we have counts for
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math.OC2026
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…
math.OC2025
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…
math.OC2020
Optimizing distortion riskmetrics with distributional uncertainty
Silvana Pesenti, Qiuqi Wang, Ruodu Wang
Optimization of distortion riskmetrics with distributional uncertainty has wide applications in finance and operations research. Distortion riskmetrics include many commonly applie…