Probabilistic forecasts are necessary for robust decisions in the face of uncertainty. The M5 Uncertainty competition required participating teams to forecast nine quantiles for unit sales of various products at various aggregation levels and for different time horizons. This paper evaluates the...

The paper develops a model for combining point forecasts into a predictive distribution for a variable of interest. Our approach allows for point forecasts to be correlated and admits uncertainty on the distribution parameters given the forecasts. Further, it provides an easy way to compute an...

This paper investigates the implications and interplay of emergency supply and responsive pricing—two effective strategies to mitigate supply risk—in response to yield randomness with limited distributional information. Specifically, we adopt a distribution-free approach to study an...

This paper considers the problem of risk sharing, where a coalition of homogeneous agents, each bearing a random cost, aggregates their costs and shares the value-at-risk of such a risky position. Due to limited distributional information in practice, the joint distribution of agents' random...