A note on compact and {\sigma}-compact subsets of probability measures on metric spaces with an application to the distribution free newsvendor problem

Abstract

This note identifies compact and {\sigma}-compact subsets of probability measures on a class of metric spaces with respect to the weak convergence topology. Moreover, it is shown by an example, that the space of probability measures on a {\sigma}-compact metric spaces not need to be {\sigma}-compact space, even though the converse statement holds true for metric spaces. The results are applied to an extended form of the distribution free newsvendor problem.