Silvana M. Pesenti

15 papers Journal 15
YearRankTypeTitle / Venue / Authors
2026 J jnl
Kullback-Leibler Barycenter of Stochastic Processes.
SIAM J. Financial Math.
Sebastian Jaimungal, Silvana M. Pesenti
2025 J jnl
Differential quantile-based sensitivity in discontinuous models.
Eur. J. Oper. Res.
Silvana M. Pesenti, Pietro Millossovich, Andreas Tsanakas
2025 J jnl
Marginal Fairness: Fair Decision-Making under Risk Measures.
CoRR
Fei Huang, Silvana M. Pesenti
2025 J jnl
Optimizing distortion riskmetrics with distributional uncertainty.
Math. Program.
Silvana M. Pesenti, Qiuqi Wang, Ruodu Wang
2025 J jnl
Risk Budgeting Allocation for Dynamic Risk Measures.
Oper. Res.
Silvana M. Pesenti, Sebastian Jaimungal, Yuri F. Saporito, Rodrigo S. Targino
2025 J jnl
Robust elicitable functionals.
Eur. J. Oper. Res.
Kathleen E. Miao, Silvana M. Pesenti
2025 J jnl
Uncertainty Propagation and Dynamic Robust Risk Measures.
Math. Oper. Res.
Marlon R. Moresco, Mélina Mailhot, Silvana M. Pesenti
2024 J jnl
Minimal Kullback-Leibler Divergence for Constrained Lévy-Itô Processes.
SIAM J. Control. Optim.
Sebastian Jaimungal, Silvana M. Pesenti, Leandro Sánchez-Betancourt
2024 J jnl
Optimal transport divergences induced by scoring functions.
Oper. Res. Lett.
Silvana M. Pesenti, Steven Vanduffel
2023 J jnl
Portfolio Optimization within a Wasserstein Ball.
SIAM J. Financial Math.
Silvana M. Pesenti, Sebastian Jaimungal
2023 J jnl
Risk budgeting portfolios from simulations.
Eur. J. Oper. Res.
Bernardo Freitas Paulo da Costa, Silvana M. Pesenti, Rodrigo S. Targino
2023 J jnl
Sensitivity measures based on scoring functions.
Eur. J. Oper. Res.
Tobias Fissler, Silvana M. Pesenti
2022 J jnl
Robust Risk-Aware Reinforcement Learning.
SIAM J. Financial Math.
Sebastian Jaimungal, Silvana M. Pesenti, Ye Sheng Wang, Hariom Tatsat
2021 J jnl
Robust Risk-Aware Reinforcement Learning.
CoRR
Sebastian Jaimungal, Silvana M. Pesenti, Ye Sheng Wang, Hariom Tatsat
2019 J jnl
Reverse sensitivity testing: What does it take to break the model?
Eur. J. Oper. Res.
Silvana M. Pesenti, Pietro Millossovich, Andreas Tsanakas