Tight Bounds for a Class of Data-Driven Distributionally Robust Risk Measures

Author:

Singh DerekORCID,Zhang Shuzhong

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Control and Optimization

Reference38 articles.

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2. Scarf, H., Arrow, K. J., Karlin, S.: A min-max solution of an inventory problem. In: Studies in the Mathematical Theory of Inventory and Production, vol. 10, pp. 201. (1958)

3. Lo, A.W.: Semi-parametric upper bounds for option prices and expected payoffs. J. Financ. Econ. 19(2), 373–387 (1987)

4. Chebyshev, P.L.: Sur les valeurs limites des intégrales. Imprimerie de Gauthier-Villars, Paris (1874)

5. Markov, A.: On certain applications of algebraic continued fractions. Unpublished Ph. D. thesis, St Petersburg (1884)

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