Constructing Uncertainty Sets for Robust Risk Measures: A Composition of $ϕ$-Divergences Approach to Combat Tail Uncertainty

Fuente: arXiv

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Bibliographic Details
Main Authors:	Jin, Guanyu, Laeven, Roger J. A., Hertog, Dick den, Ben-Tal, Aharon
Format:	Preprint
Published:	2024
Subjects:	Optimization and Control General Economics Economics Probability 91B30, 91B05, 91B82, 90C17
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2412.05234