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On intermediate marginals in martingale optimal transportation

Sester, Julian - In: Mathematics and financial economics 17 (2023) 4, pp. 615-654

Persistent link: https://www.econbiz.de/10014447754

On the continuity of the feasible set mapping in optimal transport

Ghossoub, Mario; Saunders, David M. - In: Economic theory bulletin 9 (2021) 1, pp. 113-117

Persistent link: https://www.econbiz.de/10012495317

Worst-case expected shortfall with univariate and bivariate marginals

Dhara, Anulekha; Das, Bikramjit; Natarajan, Karthik - In: INFORMS journal on computing : JOC 33 (2021) 1, pp. 370-389

Persistent link: https://www.econbiz.de/10012496433

On two families of bivariate distributions with exponential marginals : aggregation and capital allocation

Cossette, Hélène; Marceau, Etienne; Perreault, Samuel - In: Insurance / Mathematics & economics 64 (2015), pp. 214-224

Persistent link: https://www.econbiz.de/10011398017

Towards a Δ-Gamma Sato multivariate model

Boen, Lynn; Guillaume, Florence - In: Review of derivatives research 23 (2020) 1, pp. 1-39

Persistent link: https://www.econbiz.de/10012229781

Estimating cell probabilities in contingency tables with constraints on marginals/conditionals by geometric programming with applications

Wang, Xinlei; Lim, Johan; Kim, Seung-Jean; Hahn, Kyu - In: Computational Statistics 30 (2015) 1, pp. 107-129

marginals and ordered marginals/conditionals, and propose a novel approach based on geometric programming. We present two …

Persistent link: https://www.econbiz.de/10011241313

Wrong-way risk bounds in counterparty credit risk management

Memartoluie, Amir; Saunders, David M.; Wirjanto, Tony S. - In: Journal of risk management in financial institutions 10 (2016/2017) 2, pp. 150-163

Persistent link: https://www.econbiz.de/10011670666

Approximating incompletely defined utility functions of qualitative mutli-criteria modeling method DEX

Mihelčić, Matej; Bohanec, Marko - In: Central European journal of operations research : CEJOR … 25 (2017) 3, pp. 627-649

Persistent link: https://www.econbiz.de/10011711575

Discrete Wasserstein barycenters : optimal transport for discrete data

Anderes, Ethan; Borgwardt, Steffen; Miller, Jacob - In: Mathematical methods of operations research 84 (2016) 2, pp. 389-409

Persistent link: https://www.econbiz.de/10011673536

Superefficient Estimation of the Marginals by Exploiting Knowledge on the Copula

Einmahl, John; van den Akker, R. - Tilburg University, Center for Economic Research - 2010

We consider the problem of estimating the marginals in case there is knowledge on the copula. If the copula is smooth … marginals with rate of convergence log n/n. …

Persistent link: https://www.econbiz.de/10011091648

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