Restricted risk measures and robust optimization

Guido Lagos, Daniel Espinoza, Eduardo Moreno, Juan Pablo Vielma

Research output: Contribution to journalArticlepeer-review

3 Scopus citations


In this paper we consider characterizations of the robust uncertainty sets associated with coherent and distortion risk measures. In this context we show that if we are willing to enforce the coherent or distortion axioms only on random variables that are affine or linear functions of the vector of random parameters, we may consider some new variants of the uncertainty sets determined by the classical characterizations. We also show that in the finite probability case these variants are simple transformations of the classical sets. Finally we present results of computational experiments that suggest that the risk measures associated with these new uncertainty sets can help mitigate estimation errors of the Conditional Value-at-Risk.

Original languageEnglish
Pages (from-to)771-782
Number of pages12
JournalEuropean Journal of Operational Research
Issue number3
StatePublished - 16 Mar 2015
Externally publishedYes


  • Risk management
  • Stochastic programming
  • Uncertainty modeling


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