Silvana M. Pesenti

According to our database, Silvana M. Pesenti authored at least 7 papers between 2019 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2024

Minimal Kullback-Leibler Divergence for Constrained Lévy-Itô Processes.

Sebastian Jaimungal, Silvana M. Pesenti, Leandro Sánchez-Betancourt

SIAM J. Control. Optim., 2024

Optimal transport divergences induced by scoring functions.

Silvana M. Pesenti, Steven Vanduffel

Oper. Res. Lett., 2024

2023

Portfolio Optimization within a Wasserstein Ball.

Silvana M. Pesenti, Sebastian Jaimungal

SIAM J. Financial Math., December, 2023

Risk budgeting portfolios from simulations.

Bernardo Freitas Paulo da Costa, Silvana M. Pesenti, Rodrigo S. Targino

Eur. J. Oper. Res., December, 2023

Sensitivity measures based on scoring functions.

Tobias Fissler, Silvana M. Pesenti

Eur. J. Oper. Res., June, 2023

2022

Robust Risk-Aware Reinforcement Learning.

Sebastian Jaimungal, Silvana M. Pesenti, Ye Sheng Wang, Hariom Tatsat

SIAM J. Financial Math., 2022

2019

Reverse sensitivity testing: What does it take to break the model?

Silvana M. Pesenti, Pietro Millossovich, Andreas Tsanakas

Eur. J. Oper. Res., 2019