Optimization of distortion riskmetrics with distributional uncertainty has wide applications in finance and operations research. Distortion riskmetrics include many commonly applied risk measures and deviation measures, which are not necessarily monotone or convex. One of our central findings is a unifying result that allows us to convert an optimization of a non-convex distortion riskmetric with distributional uncertainty to a convex one, leading to great tractability. The key to the unifying equivalence result is the novel notion of closedness under concentration of sets of distributions. Our results include many special cases that are well studied in the optimization literature, including but not limited to optimizing probabilities, Value-at-Risk, Expected Shortfall, and Yaaris dual utility under various forms of distributional uncertainty. We illustrate our theoretical results via applications to portfolio optimization, optimization under moment constraints, and preference robust optimization.
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