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Journal Articles
- 2024
[j7]Silvana M. Pesenti
, Steven Vanduffel:
Optimal transport divergences induced by scoring functions. Oper. Res. Lett. 57: 107146 (2024)- [j6]Sebastian Jaimungal, Silvana M. Pesenti, Leandro Sánchez-Betancourt:
Minimal Kullback-Leibler Divergence for Constrained Lévy-Itô Processes. SIAM J. Control. Optim. 62(2): 982-1005 (2024) - 2023
- [j5]Tobias Fissler, Silvana M. Pesenti:
Sensitivity measures based on scoring functions. Eur. J. Oper. Res. 307(3): 1408-1423 (2023) - [j4]Bernardo Freitas Paulo da Costa, Silvana M. Pesenti, Rodrigo S. Targino:
Risk budgeting portfolios from simulations. Eur. J. Oper. Res. 311(3): 1040-1056 (2023) - [j3]Silvana M. Pesenti, Sebastian Jaimungal:
Portfolio Optimization within a Wasserstein Ball. SIAM J. Financial Math. 14(4): 1175-1214 (2023) - 2022
- [j2]Sebastian Jaimungal, Silvana M. Pesenti, Ye Sheng Wang, Hariom Tatsat:
Robust Risk-Aware Reinforcement Learning. SIAM J. Financial Math. 13(1): 213-226 (2022) - 2019
- [j1]Silvana M. Pesenti, Pietro Millossovich, Andreas Tsanakas:
Reverse sensitivity testing: What does it take to break the model? Eur. J. Oper. Res. 274(2): 654-670 (2019)
Informal and Other Publications
- 2021
- [i1]Sebastian Jaimungal, Silvana M. Pesenti, Ye Sheng Wang, Hariom Tatsat:
Robust Risk-Aware Reinforcement Learning. CoRR abs/2108.10403 (2021)
Coauthor Index
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