We introduce the concept of a distributionally robust multiobjective optimization problem, which offers a comprehensive framework for addressing issues related to the statistical estimation of unknown probabilities. By employing scalarization methods, we establish optimality conditions, followed by the exploration of applications in financial portfolio management and risk assessment.
La Torre, D., Rocca, M. (In stampa/Attività in corso). Distributionally robust multiobjective optimization with application to risk measure theory. ANNALS OF OPERATIONS RESEARCH, 1, 1-20 [10.1007/s10479-024-06401-x].
Distributionally robust multiobjective optimization with application to risk measure theory
La Torre, Davide;
In corso di stampa
Abstract
We introduce the concept of a distributionally robust multiobjective optimization problem, which offers a comprehensive framework for addressing issues related to the statistical estimation of unknown probabilities. By employing scalarization methods, we establish optimality conditions, followed by the exploration of applications in financial portfolio management and risk assessment.File in questo prodotto:
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