Robust Spectral Risk Optimization When Information on Risk Spectrum Is Incomplete

DOI10.1137/19M1284270zbMath1454.90040MaRDI QIDQ5139835

Wei Wang, Huifu Xu

Publication date: 11 December 2020

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

zbMATH Keywords

statistical robustnessalternating iterative algorithmrobust spectral risk measurerobust spectral risk optimizationstep-like approximation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Probability measures on topological spaces (60B05) Robustness in mathematical programming (90C17)

Related Items (7)

Preference Robust Modified Optimized Certainty Equivalent ⋮ Robust spectral risk optimization when the subjective risk aversion is ambiguous: a moment-type approach ⋮ Preference Robust Optimization for Choice Functions on the Space of CDFs ⋮ Preference robust distortion risk measure and its application ⋮ Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making ⋮ Risk measures under model uncertainty: a Bayesian viewpoint ⋮ Insurance premium-based shortfall risk measure induced by cumulative prospect theory

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