Distributionally robust shortfall risk optimization model and its approximation

DOI10.1007/s10107-018-1307-zzbMath1421.90097OpenAlexW2805886869MaRDI QIDQ1739046

Huifu Xu, Shao-Yan Guo

Publication date: 24 April 2019

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-018-1307-z

zbMATH Keywords

Kantorovich metric\(\phi \)-divergence ballDRSRKantorovich ballquantitative convergence analysis

Mathematics Subject Classification ID

Related Items (12)

Shortfall Risk Models When Information on Loss Function Is Incomplete ⋮ Robust spectral risk optimization when the subjective risk aversion is ambiguous: a moment-type approach ⋮ Partition-based distributionally robust optimization via optimal transport with order cone constraints ⋮ Distributionally robust optimization with multivariate second-order stochastic dominance constraints with applications in portfolio optimization ⋮ On a robust risk measurement approach for capital determination errors minimization ⋮ Distributionally robust shortfall risk optimization model and its approximation ⋮ Decomposition and discrete approximation methods for solving two-stage distributionally robust optimization problems ⋮ A vehicle routing problem with distribution uncertainty in deadlines ⋮ Data-driven stochastic programming with distributionally robust constraints under Wasserstein distance: asymptotic properties ⋮ Relative bound and asymptotic comparison of expectile with respect to expected shortfall ⋮ Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation ⋮ Quantitative stability analysis for minimax distributionally robust risk optimization

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