Robust spectral risk optimization when the subjective risk aversion is ambiguous: a moment-type approach

DOI10.1007/S10107-021-01630-5MaRDI QIDQ2149552zbMATH OpenOpenAlexFDO

Authors Huifu Xu, Shao-Yan Guo

Publication date 29 June 2022

Published in Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10107-021-01630-5

zbMATH Keywords

error boundambiguity of the true risk spectrumrisk spectrumRSRMtractable formulation

Mathematics Subject Classification ID

Stochastic programming (90C15) Minimax problems in mathematical programming (90C47) Robustness in mathematical programming (90C17)

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• Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach
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• The distortion principle for insurance pricing: properties, identification and robustness
• Theory of games and economic behavior.

Cited in

(3)

• Robust spectral risk optimization when information on risk spectrum is incomplete
• Consistent modeling of risk averse behavior with spectral risk measures: Wächter/Mazzoni revisited
• Stackelberg risk preference design

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