英文标题：
《A Composite Risk Measure Framework for Decision Making under Uncertainty》
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作者：
Pengyu Qian, Zizhuo Wang, Zaiwen Wen
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最新提交年份：
2015
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英文摘要：
In this paper, we present a unified framework for decision making under uncertainty. Our framework is based on the composite of two risk measures, where the inner risk measure accounts for the risk of decision given the exact distribution of uncertain model parameters, and the outer risk measure quantifies the risk that occurs when estimating the parameters of distribution. We show that the model is tractable under mild conditions. The framework is a generalization of several existing models, including stochastic programming, robust optimization, distributionally robust optimization, etc. Using this framework, we study a few new models which imply probabilistic guarantees for solutions and yield less conservative results comparing to traditional models. Numerical experiments are performed on portfolio selection problems to demonstrate the strength of our models.
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中文摘要：
在本文中，我们提出了一个统一的框架下的决策不确定性。我们的框架基于两个风险度量的组合，其中内部风险度量考虑了给定不确定模型参数精确分布的决策风险，外部风险度量量化了估计分布参数时发生的风险。我们证明了该模型在温和条件下是可处理的。该框架是几种现有模型的推广，包括随机规划、鲁棒优化、分布鲁棒优化等。利用该框架，我们研究了一些新模型，这些模型对解具有概率保证，与传统模型相比，产生的保守结果更少。对投资组合选择问题进行了数值实验，以证明我们模型的有效性。
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分类信息：

一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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