Robust spectral risk optimization when the subjective risk aversion is ambiguous: a moment-type approach

DOI10.1007/s10107-021-01630-5zbMath1494.90059OpenAlexW3139064006MaRDI QIDQ2149552

Huifu Xu, Shao-Yan Guo

Publication date: 29 June 2022

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-021-01630-5

zbMATH Keywords

error boundambiguity of the true risk spectrumrisk spectrumRSRMtractable formulation

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47) Stochastic programming (90C15) Robustness in mathematical programming (90C17)

Cites Work

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