Arias-Serna, M. Andrea; Loubes, Jean Michel; … - In: Risks : open access journal 10 (2022) 9, pp. 1-15
task, we propose a novel multi-variate risk measure, based on the notion of the Wasserstein barycenter. The proposed … allows effective computation of Wasserstein barycenter risk measures in any location-scatter family, including the Gaussian … case. In such cases, the Wasserstein barycenter Value-at-Risk belongs to the same family, thus it is characterized just by …