1 résultat pour « Convex analysis »

Robust convex risk measures

"We study the general properties of robust convex risk measures as worst-case values under uncertainty on random variables. We establish general concrete results regarding convex conjugates and sub-differentials. We refine some results for closed forms of worstcase law invariant convex risk measures under two concrete cases of uncertainty sets for random variables: based on the first two moments and Wasserstein balls."