  This paper expands the work on distributionally robust newsvendor to
incorporate moment constraints. The use of Wasserstein distance as the
ambiguity measure is preserved. The infinite dimensional primal problem is
formulated; problem of moments duality is invoked to derive the simpler finite
dimensional dual problem. An important research question is: How does
distributional ambiguity affect the optimal order quantity and the
corresponding profits/costs? To investigate this, some theory is developed and
a case study in auto sales is performed. We conclude with some comments on
directions for further research.
