Multi-period Mean-Expectile Portfolio Optimization under Wasserstein Ambiguity: Reformulation, Degeneracy and the Role of the Ground Metric 7BB6PY94G9

Expressions

Date	2026-10-08
Ids	arXiv 2610.11917

The mentions of the inventory that name this resource. Each name links to the card of its inventory row.

Item	Kind	Where	Source
Non-representability	statement	lemma 2	arxiv
Separability and time consistency	statement	lemma 1	arxiv
Recovery of the nominal model	statement	proposition 3	arxiv
The expectile risk measure	definition	definition 1	arxiv
Worst-case expectile envelope	statement	theorem 1	arxiv
Separable conditional risk mapping	definition	definition 2	arxiv
Norm dependence and implicit concentration penalty	statement	proposition 4	arxiv
Wasserstein metric	definition	definition 3	arxiv
Two-piece structure of the integrand	statement	lemma 4	arxiv
Degeneracy threshold	statement	proposition 2	arxiv
Sign of the multiplier and selection of $\beta_{t}$	statement	lemma 5	arxiv
Endogenous price of robustness	statement	proposition 1	arxiv
Fixed-point representation	statement	lemma 3	arxiv
Equivalent reformulation	statement	theorem 2	arxiv