Conditional distributionally robust functionals

DOI10.1287/OPRE.2023.2470MaRDI QIDQ7035337zbMATH OpenFDO

Authors Alexander Shapiro, Alois Pichler

Publication date 30 January 2025

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/OPRE.2023.2470

zbMATH Keywords

conditional risk measuresdistributional robustnessrectangularitystrict monotonicityWasserstein distance

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Decision theory (91B06) Statistical methods; risk measures (91G70)

Cited in

(1)

• Distributionally robust risk evaluation with an isotonic constraint

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