Distortion risk measure under parametric ambiguity

DOI10.1016/j.ejor.2023.05.025OpenAlexW4378530332MaRDI QIDQ6096640

Zhe George Zhang, Hui Shao

Publication date: 15 September 2023

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2023.05.025

zbMATH Keywords

risk analysisrobust optimizationdistortion functionextreme-case risk measuremoment uncertainty

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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