robust spectral risk measure – Optimization Online

Robust Spectral Risk Optimization When Information on Risk Spectrum Is Incomplete

Published: 2020/06/25

Robust Optimization, Stochastic Programming alternating iterative algorithm, robust spectral risk measure, robust spectral risk optimization, statistical robustness, step-like approximation

Spectral risk measure (SRM) is a weighted average of value at risk (VaR) where the weighting function (also known as risk spectrum or distortion function) characterizes the decision maker’s risk attitude. In this paper, we consider the case where the decision maker’s risk spectrum is ambiguous and introduce a robust SRM model based on the … Read more