Tight bounds for a class of data-driven distributionally robust risk measures (Q2115129)
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scientific article
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| English | Tight bounds for a class of data-driven distributionally robust risk measures |
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Tight bounds for a class of data-driven distributionally robust risk measures (English)
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15 March 2022
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robust moment problems
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Chebyshev-Cantelli inequality
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Scarf and Lo bounds
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partial moments
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Wasserstein distance
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Lagrangian duality
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0.8981415
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0.8924881
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0.8855129
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0.8745611
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0.8705436
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0.86581844
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0.8643754
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0.8643551
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0.8632231
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