Wasserstein Distributionally Robust Quantile Regression

We study distributionally robust quantile regression using type-p Wasserstein ambiguity sets. We derive a closed-form expression for the worst-case quantile regression loss under general p-Wasserstein uncertainty. We further give a uniqueness result showing that for p>1, the check loss yields the only class of convex loss functions for which such an additive Wasserstein regularization holds. Our analysis also uncovers qualitative differences between the regimes p=1 and p>1. When p>1, the slope coefficients coincide with those of the regularized formulation, while the intercept undergoes a radius-dependent adjustment; the value p affects only this intercept correction, whereas the choice of transport norm influences both. Finally, we establish finite-sample out-of-sample risk guarantees of order O(N-1/2) under mild moment conditions. Numerical experiments illustrate the theoretical findings and the practical implications of the proposed formulation.