IDEAS home Printed from
   My bibliography  Save this paper

Optimal moment bounds under multiple shape constraints


  • WOUTERS, Geert


Consider the problem of computing the optimal lower and upper bound for the expected value E[?(X)], where X is an uncertain random probability variable. This paper studies the case in which the density of X is restricted by multiple shape constraints, each imposed on a different subset of the domain. We derive (closed) convex hull representations that allow us to reduce the optimization problem to a class of generating measures that are composed of convex sums of local probability measures. Furthermore, the notion of mass constraints is introduced to spread out the probability mass over the entire domain. A generalization to mass uncertainty is discussed as well.

Suggested Citation

  • WOUTERS, Geert & DE SCHEPPER, Ann, 2009. "Optimal moment bounds under multiple shape constraints," Working Papers 2009005, University of Antwerp, Faculty of Applied Economics.
  • Handle: RePEc:ant:wpaper:2009005

    Download full text from publisher

    File URL:
    Download Restriction: no

    More about this item


    Probability bounds; Shape constraints; Convex optimization;

    NEP fields

    This paper has been announced in the following NEP Reports:


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ant:wpaper:2009005. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joeri Nys). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.