Optimizing distortion riskmetrics with distributional uncertainty
Author:
Funder
Natural Sciences and Engineering Research Council of Canada
Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s10107-024-02128-6.pdf
Reference65 articles.
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4. Artzner, P., Delbaen, F., Eber, J.-M., Heath, D.: Coherent measures of risk. Math. Financ. 9(3), 203–228 (1999)
5. Ben-Tal, A., Den Hertog, D., De Waegenaere, A., Melenberg, B., Rennen, G.: Robust solutions of optimization problems affected by uncertain probabilities. Manag. Sci. 59(2), 341–357 (2013)
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