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arXiv AI By Deep Kumar Ganguly, Jan K\v{r}et\'insk\'y

Robust Risk Under Evolving Uncertainty: A Wasserstein Counterpart of the Entropic Value-at-Risk

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The paper introduces the Wasserstein entropic value-at-risk, a coherent risk measure that replaces the relative-entropy ball of the traditional entropic value-at-risk with an optimal-transport ball. This new measure captures reachable catastrophes that the original entropic measure ignores, and its variational dual mirrors the entropic formula with a transport price replacing inverse temperature. By driving the transport radius with belief entropy, the authors derive a closed‑form robust dynamic‑programming operator whose cautiousness decreases as belief sharpens, providing a certified safety sandwich and a sharp safety switch.

Machine-generated by The Flow from the publisher's headline and feed description — not written or checked by a human. The full article lives at arXiv AI.

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