Lagos, Guido; Espinoza, Daniel; Moreno, Eduardo; … - In: European Journal of Operational Research 241 (2015) 3, pp. 771-782
In this paper we consider characterizations of the robust uncertainty sets associated with coherent and distortion risk measures. In this context we show that if we are willing to enforce the coherent or distortion axioms only on random variables that are affine or linear functions of the vector...