Seminar series
Date
Mon, 13 May 2024
15:30
15:30
Location
Lecture Room 3
Speaker
Prof Nizar Touzi
Organisation
NYU
We consider the general framework of distributionally robust optimization under a martingale restriction. We provide explicit expressions for model risk sensitivities in this context by considering deviations in the Wasserstein distance and the corresponding adapted one. We also extend the dual formulation to this context.