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Tight bounds for a class of data-driven distributionally robust risk measures - MaRDI portal

Tight bounds for a class of data-driven distributionally robust risk measures (Q2115129)

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Tight bounds for a class of data-driven distributionally robust risk measures
scientific article

    Statements

    title
    Tight bounds for a class of data-driven distributionally robust risk measures (English)
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    author
    Derek Singh
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    Shu-Zhong Zhang
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    publication date
    15 March 2022
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    zbMATH Keywords
    robust moment problems
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    Chebyshev-Cantelli inequality
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    Scarf and Lo bounds
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    partial moments
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    Wasserstein distance
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    Lagrangian duality
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    cites work
    Q5534404
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    Q2776650
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    Q4324980
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    Identifiers

    zbMATH DE Number
    7490292
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    OpenAlex ID
    W3091878022
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    arXiv ID
    2010.05398
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