  This paper expands the notion of robust profit opportunities in financial
markets to incorporate distributional uncertainty using Wasserstein distance as
the ambiguity measure. Financial markets with risky and risk-free assets are
considered. The infinite dimensional primal problems are formulated, leading to
their simpler finite dimensional dual problems. A principal motivating question
is how does distributional uncertainty help or hurt the robustness of the
profit opportunity. Towards answering this question, some theory is developed
and computational experiments are conducted. Finally some open questions and
suggestions for future research are discussed.
