التفاصيل البيبلوغرافية
| العنوان: |
Optimal payoff under Bregman-Wasserstein divergence constraints |
| المؤلفون: |
Pesenti, Silvana M., Vanduffel, Steven, Yang, Yang, Yao, Jing |
| سنة النشر: |
2024 |
| المجموعة: |
Quantitative Finance |
| مصطلحات موضوعية: |
Quantitative Finance - Portfolio Management, Quantitative Finance - Mathematical Finance, Quantitative Finance - Risk Management |
| الوصف: |
We study optimal payoff choice for an expected utility maximizer under the constraint that their payoff is not allowed to deviate ``too much'' from a given benchmark. We solve this problem when the deviation is assessed via a Bregman-Wasserstein (BW) divergence, generated by a convex function $\phi$. Unlike the Wasserstein distance (i.e., when $\phi(x)=x^2$). The inherent asymmetry of the BW divergence makes it possible to penalize positive deviations different than negative ones. As a main contribution, we provide the optimal payoff in this setting. Numerical examples illustrate that the choice of $\phi$ allow to better align the payoff choice with the objectives of investors. |
| نوع الوثيقة: |
Working Paper |
| URL الوصول: |
http://arxiv.org/abs/2411.18397 |
| رقم الانضمام: |
edsarx.2411.18397 |
| قاعدة البيانات: |
arXiv |