3 citations · 3 across the 2 of their papers we have counts for
2 papers
q-fin.PM2024
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…
q-fin.RM2023★ 3 cited
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…