Distributional robustness, stochastic divergences, and the quadrangle of risk
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Publication:6552960
DOI10.1007/s10287-024-00516-zMaRDI QIDQ6552960
Publication date: 11 June 2024
Published in: Computational Management Science (Search for Journal in Brave)
risk quadrangledistributionally robust optimizationcoherent measures of riskWasserstein divergencestochastic ambiguity\( \varphi \)-divergencesambiguity graduatorsdivergence neighborhoodskullbach-Leibler divergencestochastic divergencessubaversitysuperquantile divergence
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