Yi-Ying Zhang

Extremal Mean-Variance Functionals over Wasserstein Balls: Applications to Risk Sharing

We characterize the worst- and best-case values of a mean-variance functional over a 2-Wasserstein ball. Using quantile representations and the geometry of attainable means and standard deviations, we reduce both infinite-dimensional problems to scalar equations and construct the extremal laws as location-scale transfo...