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

DOI10.1007/s00245-022-09832-9zbMath1484.91522arXiv2010.05398OpenAlexW3091878022MaRDI QIDQ2115129

Derek Singh, Shu-Zhong Zhang

Publication date: 15 March 2022

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2010.05398

zbMATH Keywords

Wasserstein distancepartial momentsLagrangian dualityChebyshev-Cantelli inequalityrobust moment problemsScarf and Lo bounds

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

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