2 papers
q-fin.RM2026
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…
q-fin.PM2026
Cost-efficiency in Incomplete Markets
Carole Bernard, Stephan Sturm
This paper studies the topic of cost-efficiency in incomplete markets. A payoff is called cost-efficient if it achieves a given probability distribution at some given investment ho…