2000 character limit reached
A note on robust convex risk measures (2406.12999v3)
Published 18 Jun 2024 in q-fin.RM and q-fin.MF
Abstract: We study robust convex risk measures related to worst-case values under uncertainty in random variables. Our first main result characterizes the convex conjugate penalty term, which is the key to dual representations. Our second main result uses such penalty term to provide closed forms when uncertainty sets are based on closed balls under p-norms and Wasserstein distance.
Paper Prompts
Sign up for free to create and run prompts on this paper using GPT-5.
Top Community Prompts
Collections
Sign up for free to add this paper to one or more collections.
