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A note on robust convex risk measures

Published 18 Jun 2024 in q-fin.RM and q-fin.MF | (2406.12999v3)

Abstract: We study robust convex risk measures related to worst-case values under uncertainty in random variables. Our first main result characterizes the convex conjugate penalty term, which is the key to dual representations. Our second main result uses such penalty term to provide closed forms when uncertainty sets are based on closed balls under p-norms and Wasserstein distance.

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