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A note on robust convex risk measures

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  • Marcelo Righi

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.

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  • Marcelo Righi, 2024. "A note on robust convex risk measures," Papers 2406.12999, arXiv.org, revised Feb 2025.
  • Handle: RePEc:arx:papers:2406.12999
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    References listed on IDEAS

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