Vespermann, Niklas; Hamacher, Thomas; Kazempour, Jalal - In: Optimization Letters 17 (2022) 6, pp. 1379-1412
and confidence over empirical data—builds an ambiguity set containing a family of potential probability distributions … describing the uncertain event. The ambiguity set of different players is not necessarily identical, yielding a market with …-case probability distribution within her ambiguity set. Using an affine policy and a conditional value-at-risk approximation of chance …