Wasserstein Sensitivity of Risk and Uncertainty Propagation.
Oliver G. ErnstAlois PichlerBjörn SprungkPublished in: SIAM/ASA J. Uncertain. Quantification (2022)
Keyphrases
- risk measures
- risk averse
- expected utility
- risk aversion
- extreme events
- decision making
- inherent uncertainty
- pointwise
- portfolio management
- confidence intervals
- uncertain data
- sensitivity analysis
- sample size
- risk factors
- decision theory
- genetic algorithm
- risk analysis
- possibility theory
- early warning
- portfolio optimization
- decision makers
- wave propagation
- case study
- website
- social networks