Robust distortion riskmetrics over Bregman--Wasserstein balls and their intersections
We study the worst-case values of distortion riskmetrics over Bregman--Wasserstein balls around a reference distribution. Unlike the squared $2$-Wasserstein distance, Bregman--Wasserstein divergences can penalize upward and downward deviations differently. Our main result applies to generalized distortion functions $g:...