2 papers
q-fin.RM2026
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…
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…