Robust spectral risk optimization when the subjective risk aversion is ambiguous: a moment-type approach (Q2149552): Difference between revisions

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Property / author: Shao-Yan Guo / rank
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Property / full work available at URL: https://doi.org/10.1007/s10107-021-01630-5 / rank
 
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Latest revision as of 12:37, 29 July 2024

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Robust spectral risk optimization when the subjective risk aversion is ambiguous: a moment-type approach
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    Robust spectral risk optimization when the subjective risk aversion is ambiguous: a moment-type approach (English)
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    29 June 2022
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    risk spectrum
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    ambiguity of the true risk spectrum
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    RSRM
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    tractable formulation
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    error bound
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