论文标题
分配强劲的利润机会
Distributionally Robust Profit Opportunities
论文作者
论文摘要
本文扩大了金融市场中强大的利润机会的概念，以使用瓦斯坦距离作为歧义措施来纳入分配不确定性。考虑了具有风险和无风险资产的金融市场。制定了无限的尺寸原始问题，从而导致其更简单的二级二重问题。主要的激励问题是分配不确定性如何帮助或损害获利机会的鲁棒性。为了回答这个问题，开发了一些理论，并进行了计算实验。最后，讨论了一些未来研究的开放问题和建议。
This paper expands the notion of robust profit opportunities in financial markets to incorporate distributional uncertainty using Wasserstein distance as the ambiguity measure. Financial markets with risky and risk-free assets are considered. The infinite dimensional primal problems are formulated, leading to their simpler finite dimensional dual problems. A principal motivating question is how does distributional uncertainty help or hurt the robustness of the profit opportunity. Towards answering this question, some theory is developed and computational experiments are conducted. Finally some open questions and suggestions for future research are discussed.
