ﻻ يوجد ملخص باللغة العربية
This paper expands the work on distributionally robust newsvendor to incorporate moment constraints. The use of Wasserstein distance as the ambiguity measure is preserved. The infinite dimensional primal problem is formulated; problem of moments duality is invoked to derive the simpler finite dimensional dual problem. An important research question is: How does distributional ambiguity affect the optimal order quantity and the corresponding profits/costs? To investigate this, some theory is developed and a case study in auto sales is performed. We conclude with some comments on directions for further research.
This paper studies distributionally robust optimization (DRO) when the ambiguity set is given by moments for the distributions. The objective and constraints are given by polynomials in decision variables. We reformulate the DRO with equivalent momen
This paper expands the notion of robust profit opportunities in financial markets to incorporate distributional uncertainty using Wasserstein distance as the ambiguity measure. Financial markets with risky and risk-free assets are considered. The inf
In this article we solve the problem of maximizing the expected utility of future consumption and terminal wealth to determine the optimal pension or life-cycle fund strategy for a cohort of pension fund investors. The setup is strongly related to a
We study multistage distributionally robust mixed-integer programs under endogenous uncertainty, where the probability distribution of stage-wise uncertainty depends on the decisions made in previous stages. We first consider two ambiguity sets defin
We investigate the structure of good deal bounds, which are subintervals of a no-arbitrage pricing bound, for financial market models with convex constraints as an extension of Arai and Fukasawa (2014). The upper and lower bounds of a good deal bound