Preference robust models in multivariate utility-based shortfall risk minimization

DOI10.1080/10556788.2020.1827255zbMath1501.90061OpenAlexW3091711297MaRDI QIDQ5038439

Yuan Zhang, Huifu Xu, Wei Wang

Publication date: 30 September 2022

Published in: Optimization Methods and Software (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10556788.2020.1827255

zbMATH Keywords

statistical robustnesstractable formulationmultivariate utility-based shortfall risk measure (MSR)preference robust MSRworst-case multivariate loss function

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Sensitivity, stability, parametric optimization (90C31) Robustness in mathematical programming (90C17)

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