We consider a matching market where buyers and sellers arrive according to independent Poisson processes at the same rate and independently abandon the market if not matched after an exponential am…
We revisit Markowitz’s mean-variance portfolio selection model by considering a distributionally robust version, in which the region of distributional uncertainty is around the empirical measure …
We consider optimal transport-based distributionally robust optimization (DRO) problems with locally strongly convex transport cost functions and affine decision rules. Under conventional convexity…
We present a novel inference approach that we call sample out-of-sample inference. The approach can be used widely, ranging from semisupervised learning to stress testing, and it is fundamental in …