Distributionally robust shortfall risk optimization model and its approximation

HIGHLIGHTS

• who: Shaoyan Guo from the University of Southampton supported by the EPSRC grantSchool of Mathematical Sciences, Dalian University of Technology, Dalian, China have published the research work: Distributionally robust shortfall risk optimization model and its approximation, in the Journal: (JOURNAL)
• what: Specifically the authors show that the error of the optimal value is linearly bounded by the error of each of the approximate ambiguity sets and subsequently derive a confidence interval of the optimal value under each of the approximation schemes. The authors demonstrate that DRSR is the worst-case SR (Proposition 1) and hence . . .
  

   

  

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