Preference robust models in multivariate utility-based shortfall risk minimization (Q5038439)
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scientific article; zbMATH DE number 7595259
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| English | Preference robust models in multivariate utility-based shortfall risk minimization |
scientific article; zbMATH DE number 7595259 |
Statements
Preference robust models in multivariate utility-based shortfall risk minimization (English)
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30 September 2022
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multivariate utility-based shortfall risk measure (MSR)
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worst-case multivariate loss function
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preference robust MSR
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tractable formulation
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statistical robustness
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0.8648642301559448
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0.7933186888694763
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0.76624596118927
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0.7558611035346985
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0.7467397451400757
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