Seminar by Brendan Pass

Robust risk management via multi-marginal optimal transport

We study the problem of maximizing a spectral risk measure of a given output function which depends on several underlying variables, whose individual distributions are known but whose joint distribution is not.  We establish and exploit an equivalence between this problem and a multi-marginal optimal transport problem.  We use this reformulation to establish explicit, closed form solutions when the underlying variables are one dimensional, for a large class of output functions.  For higher dimensional underlying variables, we identify conditions on the output function and marginal distributions under which solutions concentrate on graphs over the first variable and are unique, and, for general output functions, we find upper bounds on the dimension of the support of the solution.  We also discuss stability results and  show that some of our results extend to maximal correlation measures of multi-dimensional risks.  Joint work with Hamza Ennaji, Quentin Mérigot and Luca Nenna.