Quantifying the Impact of Model Misspecification
Quantifying the Impact of Model Misspecification
Disciplines
Mathematics (100%)
Keywords
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Model uncertainty,
Robust Finance,
Knightian uncertainty,
Risk Measures,
Wasserstein distance
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.
- Universität Wien - 100%
- Gudmund Pammer, Technische Universität Graz , national collaboration partner
- Julio Daniel Backhoff, Universität Wien , national collaboration partner
- Mathias Beiglböck, Universität Wien , national collaboration partner
- 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
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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
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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