Conditional Risk Mappings

We introduce an axiomatic definition of a conditional convex risk mapping. By employing the techniques of conjugate duality we derive properties of conditional risk mappings. In particular, we prove a representation theorem for conditional risk mappings in terms of conditional expectations. We also develop dynamic programming relations for multistage optimization problems involving conditional risk mappings.

MoreLess

Year of publication:	2004-04-12
Authors:	Ruszczynski, Andrzej ; Shapiro, Alexander
Institutions:	EconWPA
Subject:	Risk \| Convex Analysis \| Conjugate Duality \| Stochastic Optimization \| Dynamic Programming \| Multi-Stage Programming

More details

Extent:	application/pdf
Series:	Risk and Insurance.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; pages: 21 21 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005561062