Guanyu Jin

collaborators

2 papers

math.OC2025

Robust Optimization of Rank-Dependent Models with Uncertain Probabilities

Guanyu Jin, Roger J. A. Laeven, Dick den Hertog

This paper studies distributionally robust optimization for a rich class of risk measures with ambiguity sets defined by $I ¨ $ -divergences. The risk measures are allowed to be non-l…

math.OC2024

Constructing Uncertainty Sets for Robust Risk Measures: A Composition of $I ¨ $ -Divergences Approach to Combat Tail Uncertainty

Guanyu Jin, Roger J. A. Laeven, Dick den Hertog +1

Risk measures, which typically evaluate the impact of extreme losses, are highly sensitive to misspecification in the tails. This paper studies a robust optimization approach to co…

Robust Optimization of Rank-Dependent Models with Uncertain Probabilities

Constructing Uncertainty Sets for Robust Risk Measures: A Composition of I¨-Divergences Approach to Combat Tail Uncertainty

Constructing Uncertainty Sets for Robust Risk Measures: A Composition of $I ¨ $ -Divergences Approach to Combat Tail Uncertainty