On distributional robust probability functions and their computations

Man Hong Wong and Shuzhong Zhang

European Journal of Operational Research, 2014, vol. 233, issue 1, 23-33

Abstract: Consider a random vector, and assume that a set of its moments information is known. Among all possible distributions obeying the given moments constraints, the envelope of the probability distribution functions is introduced in this paper as distributional robust probability function. We show that such a function is computable in the bi-variate case under some conditions. Connections to the existing results in the literature and its applications in risk management are discussed as well.

Keywords: Risk management; Distributional robust; Moment bounds; Semidefinite programming (SDP); Conic programming (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:233:y:2014:i:1:p:23-33

DOI: 10.1016/j.ejor.2013.08.044

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