Quantifying Distributional Model Risk via Optimal Transport.
Jose H. BlanchetKarthyek R. A. MurthyPublished in: Math. Oper. Res. (2019)
Keyphrases
- mathematical model
- probabilistic model
- computational model
- prior knowledge
- decision making
- utility function
- probability distribution
- management system
- decision makers
- multi agent systems
- theoretical framework
- objective function
- statistical model
- neural network
- closed form
- sensitivity analysis
- prediction model
- optimal control
- investment decisions