This paper provides a coherent method for scenario aggregation addressing model uncertainty. It is based on divergence … minimization from a reference probability measure subject to scenario constraints. An example from regulatory practice motivates …-at-risk and expected shortfall, are shown to be robust with respect to minimum divergence scenario aggregation. Various examples …

forecast demand for the same product. We also model the evolutions of forecasts when decision makers have asymmetric demand … information and refer to it as the Martingale Model of Asymmetric Forecast Evolutions (MMAFE). This model helps us to study … credible forecast information from a manufacturer (agent) when both firms obtain asymmetric demand information for the end …