Tight bounds for a class of data-driven distributionally robust risk measures (Q2115129)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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