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Author  |
Lagos, G.; Espinoza, D.; Moreno, E.; Vielma, J.P. |
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Title |
Restricted risk measures and robust optimization |
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Year |
2015 |
Publication |
European Journal Of Operational Research |
Abbreviated Journal |
Eur. J. Oper. Res. |
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Volume |
241 |
Issue |
3 |
Pages |
771-782 |
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Keywords |
Risk management; Stochastic programming; Uncertainty modeling |
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Abstract |
In this paper we consider characterizations of the robust uncertainty sets associated with coherent and distortion risk measures. In this context we show that if we are willing to enforce the coherent or distortion axioms only on random variables that are affine or linear functions of the vector of random parameters, we may consider some new variants of the uncertainty sets determined by the classical characterizations. We also show that in the finite probability case these variants are simple transformations of the classical sets. Finally we present results of computational experiments that suggest that the risk measures associated with these new uncertainty sets can help mitigate estimation errors of the Conditional Value-at-Risk. (C) 2014 Elsevier B.V. All rights reserved. |
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Address |
[Lagos, Guido] Georgia Inst Technol, H Milton Stewart Sch Ind & Syst Engn, Atlanta, GA 30332 USA, Email: glagos@gatech.edu; |
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Publisher |
Elsevier Science Bv |
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Language |
English |
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Series Volume |
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ISSN |
0377-2217 |
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Notes |
WOS:000347605100018 |
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Call Number |
UAI @ eduardo.moreno @ |
Serial |
438 |
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