Bikramjit Das

On the heavy-tail behavior of the distributionally robust newsvendor

  • Bikramjit Das
  • Karthik Natarajan
  • Anulekha Dhara
    • Categories Robust Optimization

    Since the seminal work of Scarf (1958) [A min-max solution of an inventory problem, Studies in the Mathematical Theory of Inventory and Production, pages 201-209] on the newsvendor problem with ambiguity in the demand distribution, there has been a growing interest in the study of the distributionally robust newsvendor problem. The optimal order quantity is … Read more

    Worst-Case Expected Shortfall with Univariate and Bivariate Marginals

  • Bikramjit Das
  • Karthik Natarajan
  • Anulekha Dhara
    • Categories Finance and Economics Tags , , ,

    Worst-case bounds on the expected shortfall risk given only limited information on the distribution of the random variables has been studied extensively in the literature. In this paper, we develop a new worst-case bound on the expected shortfall when the univariate marginals are known exactly and additional expert information is available in terms of bivariate … Read more