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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 worst-case values under uncertainty on random variables. We establish general concrete results regarding convex conjugates and sub-differentials. We refine some results for closed forms of worstcase law invariant convex risk measures under two concrete cases of uncertainty sets for random variables: based on the first two moments and Wasserstein balls.

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

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