2 papers
math.OC2024
Risk Quadrangle and Robust Optimization Based on Extended -Divergence
Cheng Peng, Anton Malandii, Stan Uryasev
The Fundamental Risk Quadrangle (FRQ) is a unified framework linking risk management, statistical estimation, and optimization. Distributionally robust optimization (DRO) based on…
q-fin.RM2023
Divergence Based Quadrangle and Applications
Anton Malandii, Siddhartha Gupte, Cheng Peng +1
This paper introduces a novel framework for assessing risk and decision-making in the presence of uncertainty, the \emph{-Divergence Quadrangle}. This approach expands upon the…