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Robust convex risk measures

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  • Marcelo Righi

Abstract

We study the general properties of robust convex risk measures as they relate to worst-case values under uncertainty in random variables. We establish general concrete results regarding convex conjugates and sub-differentials. We refine results for closed forms of worst-case law-invariant convex risk measures under two specific uncertainty sets: one based on the first two moments and another on Wasserstein balls.

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  • Marcelo Righi, 2024. "Robust convex risk measures," Papers 2406.12999, arXiv.org, revised Oct 2024.
    • Handle: RePEc:arx:papers:2406.12999
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    References listed on IDEAS

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