Before revision:  First we focus on the case where the set of possible distributions of a financial loss is given by the neighborhood of a given baseline distribution in the Wasserstein distance, or more generally, an optimal-transport distance. Here it turns out that the computation of the robust OCE reduces to a finite dimensional problem, which in some cases can even be solved explicitly.
After revision:  First we focus on the case where the set of possible distributions of a financial loss is given by the neighborhood of a given baseline distribution . It turns out that the computation of the robust OCE reduces to a finite dimensional problem, which in some cases can even be solved explicitly.