We compare three different approaches studied by past literature on data-driven inventory optimization--- Frequentist Parametric (FP), Bayesian Parametric (BP) and Nonparametric--- for the newsvendor problem. For the Parametric approaches, we allow for mis-specification of the demand model. We...

Despite the widespread realization that financial models for contingent claim pricing, asset allocation and risk management depend critically on their underlying assumptions, the vast majority of financial models are based on single probability measures. In such models, asset prices are assumed...