Distributional robustness, stochastic divergences, and the quadrangle of risk
R. Tyrrell Rockafellar
| Year of publication: |
2024
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|---|---|
| Authors: | Rockafellar, Ralph Tyrrell |
| Published in: |
Computational management science. - Heidelberg : Springer, ISSN 1619-6988, ZDB-ID 2107564-5. - Vol. 21.2024, 1, Art.-No. 34, p. 1-30
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| Subject: | ϕ-Divergences | Ambiguity graduators | Coherent measures of risk | Distributionally robust optimization | Divergence neighborhoods | Kullbach–Leibler divergence | Risk quadrangle | Stochastic ambiguity | Stochastic divergences | Subaversity | Superquantile divergence | Wasserstein divergence | Risiko | Risk | Stochastischer Prozess | Stochastic process | Theorie | Theory | Robustes Verfahren | Robust statistics | Statistische Verteilung | Statistical distribution | Messung | Measurement | Entscheidung unter Unsicherheit | Decision under uncertainty | Räumliche Verteilung | Spatial distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10287-024-00516-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014636812