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Silvana M. Pesenti

Risk Budgeting Portfolios from Simulations
Risk Contributions of Lambda Quantiles
Robust Risk-Aware Reinforcement Learning
Sensitivity Measures Based on Scoring Functions
Cascade Sensitivity Measures
Optimizing Distortion Riskmetrics With Distributional Uncertainty
Portfolio Optimisation within a Wasserstein Ball
Scenario Weights for Importance Measurement (SWIM) – an R package for sensitivity analysis
Robust Distortion Risk Measures
Reverse sensitivity testing: What does it take to break the model?
Euler allocations in the presence of non-linear reinsurance: Comment on Major (2018)
Robustness regions for measures of risk aggregation

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