Silvana M. Pesenti

Publication Activity (10 Years)

Years Active: 2019-2024
Publications (10 Years): 7

Top Topics

Generalized Gaussian

Sensitivity Analysis

Risk Management

Scoring Functions

Top Venues

Eur. J. Oper. Res.

SIAM J. Financial Math.

Oper. Res. Lett.

SIAM J. Control. Optim.

Publications

Silvana M. Pesenti, Steven Vanduffel
Optimal transport divergences induced by scoring functions. Oper. Res. Lett. 57 (2024)
Sebastian Jaimungal, Silvana M. Pesenti, Leandro Sánchez-Betancourt
Minimal Kullback-Leibler Divergence for Constrained Lévy-Itô Processes. SIAM J. Control. Optim. 62 (2) (2024)
Tobias Fissler, Silvana M. Pesenti
Sensitivity measures based on scoring functions. Eur. J. Oper. Res. 307 (3) (2023)
Bernardo Freitas Paulo da Costa, Silvana M. Pesenti, Rodrigo S. Targino
Risk budgeting portfolios from simulations. Eur. J. Oper. Res. 311 (3) (2023)
Silvana M. Pesenti, Sebastian Jaimungal
Portfolio Optimization within a Wasserstein Ball. SIAM J. Financial Math. 14 (4) (2023)
Sebastian Jaimungal, Silvana M. Pesenti, Ye Sheng Wang, Hariom Tatsat
Robust Risk-Aware Reinforcement Learning. SIAM J. Financial Math. 13 (1) (2022)
Silvana M. Pesenti, Pietro Millossovich, Andreas Tsanakas
Reverse sensitivity testing: What does it take to break the model? Eur. J. Oper. Res. 274 (2) (2019)