Robust spectral risk optimization when the subjective risk aversion is ambiguous: a moment-type approach

DOI10.1007/s10107-021-01630-5zbMath1494.90059OpenAlexW3139064006MaRDI QIDQ2149552

Huifu Xu, Shao-Yan Guo

Publication date: 29 June 2022

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

Full work available at URL: https://doi.org/10.1007/s10107-021-01630-5

zbMATH Keywords

error boundambiguity of the true risk spectrumrisk spectrumRSRMtractable formulation

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47) Stochastic programming (90C15) Robustness in mathematical programming (90C17)

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