Robustness in stochastic programs with risk constraints

Jitka Dupačová () and Miloš Kopa ()

Annals of Operations Research, 2012, vol. 200, issue 1, 55-74

Abstract: This paper is a contribution to the robustness analysis for stochastic programs whose set of feasible solutions depends on the probability distribution P. For various reasons, probability distribution P may not be precisely specified and we study robustness of results with respect to perturbations of P. The main tool is the contamination technique. For the optimal value, local contamination bounds are derived and applied to robustness analysis of the optimal value of a portfolio performance under risk-shaping CVaR constraints. A new robust portfolio efficiency test with respect to the second order stochastic dominance criterion is suggested and the contamination methodology is exploited to analyze its resistance with respect to additional scenarios. Copyright Springer Science+Business Media, LLC 2012

Keywords: Expectation type constraints; Robustness analysis; Contamination technique; Risk-shaping with CVaR; Second order stochastic dominance; Robust SSD portfolio efficiency test (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (21)

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DOI: 10.1007/s10479-010-0824-9

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