Restricted risk measures and robust optimization

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

Resultado de la investigación: Contribución a una revistaArtículorevisión exhaustiva

3 Citas (Scopus)

Resumen

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.

Idioma originalInglés
Páginas (desde-hasta)771-782
Número de páginas12
PublicaciónEuropean Journal of Operational Research
Volumen241
N.º3
DOI
EstadoPublicada - 16 mar. 2015
Publicado de forma externa

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