Tractable Counterparts of Distributionally Robust Constraints on Risk Measures

Keyphrases

• Risk Measures 100%
• Robust Constraint 100%
• Distributionally Robust 100%
• At-risk 60%
• Uncertainty Set 60%
• Portfolio Optimization 40%
• Conditional Value 40%
• Numerical Examples 20%
• Goodness-of-fit Test 20%
• Robust Counterpart 20%
• Likelihood Ratio 20%
• Dependent Random Variables 20%
• Multi-item Newsvendor Problem 20%
• Probability Metrics 20%
• Discrete Probability Distribution 20%
• Test Metrics 20%
• Test Distance 20%
• Anderson-Darling Test 20%
• Computational Tractability 20%
• Machine Learning 20%
• Machine Engineering 20%
• Wasserstein Distance 20%

Mathematics

• Risk Measure 100%
• Probability Theory 40%
• Conditional Value At Risk 40%
• Variance 20%
• Numerical Example 20%
• Value at Risk 20%
• Goodness of Fit Test 20%
• Likelihood Ratio 20%
• Dependent Random Variable 20%
• Standard Deviation 20%
• Wasserstein Distance 20%
• Discrete Probability Distribution 20%
• Darling Test 20%

Economics, Econometrics and Finance

• Portfolio Selection 100%
• Measure of Dispersion 50%
• Machine Learning 50%