Optimization of Convex Risk Functions

We consider optimization problems involving convex risk functions. By employing techniques of convex analysis and optimization theory in vector spaces of measurable functions we develop new representation theorems for risk models, and optimality and duality theory for problems involving risk functions.

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Year of publication:	2004-04-12
Authors:	Ruszczynski, Andrzej ; Shapiro, Alexander
Institutions:	EconWPA
Subject:	Convex analysis \| stochastic optimization \| risk measures \| mean- variance models \| duality

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Extent:	application/pdf
Series:	Risk and Insurance.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; pages: 26 26 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005076666