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Robust distortion risk metrics with Wasserstein and Unimodal Constraints

Liu, Peng et al.
arXiv (All) · Papers
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risk-management
We establish sharp upper and lower bounds for distortion risk metrics under distributional uncertainty. The uncertainty sets are characterized by four key features of the underlying distribution: mean, variance, unimodality, and Wasserstein distance to a reference distribution. We first examine a
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