Wasserstein Distributionally Robust Rare-Event Simulation

By Dohyun Ahn, Huiyi Chen, Lewen Zheng

Published 2026-01-04

Everscope rating

2002.1

Relevance to quantitative trading

8 / 10

Implementation complexity

5 / 10

Reproducibility

3 / 5

About this paper

Methodology: Distributionally Robust Importance Sampling (DRIS). Problem types: Risk Management, Portfolio Optimization, Optimization, Density Estimation, Anomaly Detection.

arXiv:2601.01642 · Paper rankings

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