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Robust risk management via multi-marginal optimal transport - MaRDI portal

Robust risk management via multi-marginal optimal transport

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Publication:6608744

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DOI10.1007/s10957-024-02438-xMaRDI QIDQ6608744

Luca Nenna, Quentin Mérigot, Brendan Pass, Hamza Ennaji

Publication date: 20 September 2024

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Mathematics Subject Classification ID

Risk models (general) (91B05) Optimal transportation (49Q22)

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