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math.PR2025
Distributionally robust Expected Shortfall for convex payoffs
Gusti van Zyl
We study distributionally robust Expected Shortfall when the distribution of the underlying is perturbed by a size quantified with optimal transport distance based on the quadratic…
math.PR2019
A measure approximation theorem for Wasserstein-robust expected values
Gusti van Zyl
We consider the problem of finding the infimum, over probability measures being in a ball defined by Wasserstein distance, of the expected value of a bounded Lipschitz random varia…