Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance.
SIAM J. Financial Math.(2023)
摘要
We analyze the effect of small changes in the underlying probabilistic model on the value of multi -period stochastic optimization problems and optimal stopping problems. We work in finite discrete time and measure these changes with the adapted Wasserstein distance. We prove explicit first-order approximations for both problems. Expected utility maximization is discussed as a special case.
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关键词
multiperiod optimization problems,sensitivity
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