A note on robust convex risk measures

Marcelo Righi ()

Papers from arXiv.org

Abstract: We study robust convex risk measures related to worst-case values under uncertainty in random variables. Our first main result characterizes the convex conjugate penalty term, which is the key to dual representations. Our second main result uses such penalty term to provide closed forms when uncertainty sets are based on closed balls under p-norms and Wasserstein distance.

Date: 2024-06, Revised 2025-02
New Economics Papers: this item is included in nep-rmg
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