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What is Robust Optimization of Risk Moments about?

This document presents a distributionally robust optimization model for moments subject to partial ambiguity. It introduces a two-fold ambiguity model that considers ambiguity in both the scenario indicator and risk distribution. The model is formulated to disentangle the ambiguity into these two parts. The main result provides closed-form solutions for the robust estimates in terms of the model parameters. Numerical studies demonstrate how the optimal allocation of ambiguity depends on the parameter p.

Author

杨云绅

Language

EN