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Quantifying the Impact of Model Misspecification

Quantifying the Impact of Model Misspecification

Daniel Bartl (ORCID: 0000-0002-1379-2401)
  • Grant DOI 10.55776/P34743
  • Funding program Principal Investigator Projects
  • Status ongoing
  • Start October 1, 2022
  • End September 30, 2026
  • Funding amount € 393,498
  • Project website
  • E-mail

Disciplines

Mathematics (100%)

Keywords

    Model uncertainty, Robust Finance, Knightian uncertainty, Risk Measures, Wasserstein distance

Abstract

Probabilistic models describing the future evolution of financial markets are not given by nature, but need to be chosen by market participants. This choice is complex and usually subject to some error, for instance, as not enough data are available for an accurate estimation. The resulting lack of confidence in the selection of the model goes under the name model uncertainty and is the topic of this project. We plan to develop a theory that aims at minimizing the impact of model uncertainty for problems typically considered in mathematical finance such as utility maximization or computing the fair price / monetary risk of financial positions. This is done in two parts. In the first part, we analyze how sensitive such problems are with respect to different types of errors that arise in model selection. In particular, this will improve our understanding which types of errors are more serious and should therefore be avoided. In the second and main part, we plan to develop statistical procedures, specifically tailored to given problems in mathematical finance, that avoid serious errors in the model selection.

Research institution(s)
  • Universität Wien - 100%
Project participants
  • Gudmund Pammer, Technische Universität Graz , national collaboration partner
  • Julio Daniel Backhoff, Universität Wien , national collaboration partner
  • Mathias Beiglböck, Universität Wien , national collaboration partner
International project participants
  • Mendelson Shahar, Australian National University - Australia
  • Samuel Drapeau, Shanghai Jiao Tong University - China
  • Martin Huesmann, Universität Münster - Germany
  • Johannes Wiesel, Columbia University New York - USA
  • Ludovic Tangpi, Princeton University - USA
  • Jan Obloj, University of Oxford - United Kingdom

Research Output

  • 41 Citations
  • 9 Publications
  • 17 Scientific Awards
Publications
  • 2022
    Title Nonasymptotic Convergence Rates for the Plug-in Estimation of Risk Measures
    DOI 10.1287/moor.2022.1333
    Type Journal Article
    Author Bartl D
    Journal Mathematics of Operations Research
    Link Publication
  • 2023
    Title Optimal Non-Gaussian Dvoretzky–Milman Embeddings
    DOI 10.1093/imrn/rnad267
    Type Journal Article
    Author Bartl D
    Journal International Mathematics Research Notices
    Pages 8459-8480
    Link Publication
  • 2022
    Title On Monte-Carlo methods in convex stochastic optimization
    DOI 10.1214/22-aap1781
    Type Journal Article
    Author Bartl D
    Journal The Annals of Applied Probability
    Link Publication
  • 2022
    Title Estimating processes in adapted Wasserstein distance
    DOI 10.1214/21-aap1687
    Type Journal Article
    Author Backhoff J
    Journal The Annals of Applied Probability
    Link Publication
  • 2022
    Title Random embeddings with an almost Gaussian distortion
    DOI 10.1016/j.aim.2022.108261
    Type Journal Article
    Author Bartl D
    Journal Advances in Mathematics
    Pages 108261
    Link Publication
  • 2025
    Title Empirical approximation of the gaussian distribution in R d
    DOI 10.1016/j.aim.2024.110041
    Type Journal Article
    Author Bartl D
    Journal Advances in Mathematics
    Pages 110041
    Link Publication
  • 2025
    Title Structure preservation via the Wasserstein distance
    DOI 10.1016/j.jfa.2024.110810
    Type Journal Article
    Author Bartl D
    Journal Journal of Functional Analysis
    Pages 110810
    Link Publication
  • 2024
    Title The Wasserstein space of stochastic processes
    DOI 10.4171/jems/1554
    Type Journal Article
    Author Bartl D
    Journal Journal of the European Mathematical Society
  • 2023
    Title Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance
    DOI 10.1137/22m1537746
    Type Journal Article
    Author Bartl D
    Journal SIAM Journal on Financial Mathematics
    Pages 704-720
Scientific Awards
  • 2025
    Title Seminar "Adapted optimal transport for stochastic processes" at University of California - Irvine
    Type Personally asked as a key note speaker to a conference
    Level of Recognition Continental/International
  • 2025
    Title Seminar "Adapted optimal transport for stochastic processes" at University of Oxford
    Type Personally asked as a key note speaker to a conference
    Level of Recognition Continental/International
  • 2024
    Title Statistically optimal estimation of Expected Shortfall (Mathematical and statistical methods for actuarial sciences and finance - Le Havre, France)
    Type Personally asked as a key note speaker to a conference
    Level of Recognition Continental/International
  • 2024
    Title Statistical estimation of stochastic optimization problems and risk measures (Modeling, Learning and Understanding: Modern Challenges between Financial Mathematics, Financial Technology and Financial Economics - Vancouver, Canada)
    Type Personally asked as a key note speaker to a conference
    Level of Recognition Continental/International
  • 2024
    Title Optimal nonparametric estimation of the Expected Shortfall risk (Austrian Statistical Days: Statistiktage 2024 der Österreichischen Statistischen Gesellschaft - Vienna, Austria)
    Type Personally asked as a key note speaker to a conference
    Level of Recognition Continental/International
  • 2024
    Title Sensitivity of multiperiod optimization problems (Soft Methods in Probability and Statistics - Salzburg, Austria)
    Type Personally asked as a key note speaker to a conference
    Level of Recognition Continental/International
  • 2024
    Title A high dimensional Dvoretzky-Kiefer-Wolfowitz inequality (Austrian Stochastics Days 2024 - Innsbruck, Austria)
    Type Personally asked as a key note speaker to a conference
    Level of Recognition Continental/International
  • 2023
    Title Statistical aspects of high dimensional Wasserstein distances (Advances in Stochastic Analysis for Handling Risks in Finance and Insurance - Luminy, France)
    Type Personally asked as a key note speaker to a conference
    Level of Recognition Continental/International
  • 2023
    Title Statistical estimation of stochastic optimization problems (Seminar Geometric Deep Learning - Hamilton, Canada)
    Type Personally asked as a key note speaker to a conference
    Level of Recognition Continental/International
  • 2023
    Title Statistical estimation of stochastic optimization problems (Talks in Financial and Insurance Mathematics - Zurich, Switzerland)
    Type Personally asked as a key note speaker to a conference
    Level of Recognition Continental/International
  • 2023
    Title Introduction to mathematics of statistical learning theory (Vienna, Austria)
    Type Personally asked as a key note speaker to a conference
    Level of Recognition Continental/International
  • 2023
    Title Minicourse "Introduction to geometric aspects of statistical learning theory" (Singapore)
    Type Personally asked as a key note speaker to a conference
    Level of Recognition National (any country)
  • 2023
    Title On high dimensional Dvoretzky-Kiefer-Wolfowitz type inequalities (DACO Seminar - Zurich, Switzerland)
    Type Personally asked as a key note speaker to a conference
    Level of Recognition Continental/International
  • 2022
    Title Statistical aspects of stochastic optimization problems (DMV Annual Meeting 2022 - Berlin, Germany)
    Type Personally asked as a key note speaker to a conference
    Level of Recognition Continental/International
  • 2022
    Title Statistical aspects of stochastic optimization problems (LMU Christmas Workshop in Stochastics and Finance - Munich, Germany)
    Type Personally asked as a key note speaker to a conference
    Level of Recognition Continental/International
  • 2022
    Title Statistical aspects of stochastic optimization problems (Math. Finance Seminar - Bielefeld, Germany)
    Type Personally asked as a key note speaker to a conference
    Level of Recognition Continental/International
  • 2022
    Title Wasserstein distances in high-dimension and non-gaussian Dvoretzky-Milman ensembles (Asymptotic Geometric Analysis seminar - Tel Aviv, Israel)
    Type Personally asked as a key note speaker to a conference
    Level of Recognition Continental/International

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