Tight bounds for a class of data-driven distributionally robust risk measures
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Publication:2115129
DOI10.1007/S00245-022-09832-9zbMATH Open1484.91522arXiv2010.05398OpenAlexW3091878022MaRDI QIDQ2115129FDOQ2115129
Publication date: 15 March 2022
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Abstract: This paper expands the notion of robust moment problems to incorporate distributional ambiguity using Wasserstein distance as the ambiguity measure. The classical Chebyshev-Cantelli (zeroth partial moment) inequalities, Scarf and Lo (first partial moment) bounds, and semideviation (second partial moment) in one dimension are investigated. The infinite dimensional primal problems are formulated and the simpler finite dimensional dual problems are derived. A principal motivating question is how does data-driven distributional ambiguity affect the moment bounds. Towards answering this question, some theory is developed and computational experiments are conducted for specific problem instances in inventory control and portfolio management. Finally some open questions and suggestions for future research are discussed.
Full work available at URL: https://arxiv.org/abs/2010.05398
Wasserstein distancepartial momentsLagrangian dualityChebyshev-Cantelli inequalityrobust moment problemsScarf and Lo bounds
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Cited In (2)
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