Distributionally robust shortfall risk optimization model and its approximation (Q1739046)
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scientific article; zbMATH DE number 7047599
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Distributionally robust shortfall risk optimization model and its approximation |
scientific article; zbMATH DE number 7047599 |
Statements
Distributionally robust shortfall risk optimization model and its approximation (English)
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24 April 2019
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DRSR
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Kantorovich metric
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\(\phi \)-divergence ball
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Kantorovich ball
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quantitative convergence analysis
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0.8073443174362183
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0.7933186888694763
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0.7582640647888184
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0.758151113986969
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0.7522301077842712
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