Distributionally robust optimization under distorted expectations

DOI10.1287/OPRE.2020.0685MaRDI QIDQ6974738zbMATH OpenFDO

Authors Jun Cai, Jonathan Y. Li, Tiantian Mao

Publication date 5 June 2025

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/OPRE.2020.0685

zbMATH Keywords

convex risk measuredistortion risk measuredistributionally robust optimizationconvex envelope

Mathematics Subject Classification ID

Stochastic programming (90C15) Robustness in mathematical programming (90C17)

Cited in

(6)

• Distributionally robust optimization
• Best- and worst-case scenarios for GlueVaR distortion risk measure with incomplete information
• Robust -quantiles and extremal distributions
• Worst-case distortion risk measures of transformed losses with uncertain distributions lying in Wasserstein balls
• Worst-case values of target semi-variances with applications to robust portfolio selection
• Optimizing distortion riskmetrics with distributional uncertainty

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