Search Results - subject:"Convex Analysis"

Conditional risk and acceptability mappings as Banach-lattice valued mappings

Kovacevic, Raimund M. - In: Statistics & Risk Modeling 29 (2012) 1, pp. 1-18

Abstract Conditional risk and acceptability mappings quantify the desirability of random variables (e.g. financial returns) by accounting for available information. In this paper the focus lies on acceptability mappings, concave translation-equivariant monotone mappings L p (Ω, F ,ℙ) → L...

Persistent link: https://www.econbiz.de/10014622212

Descentwise inexact proximal algorithms for smooth optimization

Fuentes, Marc; Malick, Jérôme; Lemaréchal, Claude - In: Computational Optimization and Applications 53 (2012) 3, pp. 755-769

The proximal method is a standard regularization approach in optimization. Practical implementations of this algorithm require (i) an algorithm to compute the proximal point, (ii) a rule to stop this algorithm, (iii) an update formula for the proximal parameter. In this work we focus...

Persistent link: https://www.econbiz.de/10010998309

Multivariate stress scenarios and solvency

McNeil, Alexander J.; Smith, Andrew D. - In: Insurance: Mathematics and Economics 50 (2012) 3, pp. 299-308

We show how the probabilistic concepts of half-space trimming and depth may be used to define convex scenario sets Qα for stress testing the risk factors that affect the solvency of an insurance company over a prescribed time period. By choosing the scenario in Qα which minimizes net asset...

Persistent link: https://www.econbiz.de/10011046668

Introduction to Convex and Quasiconvex Analysis

Frenk, Frenk, J.B.G.; Kassay, G. - Erasmus Research Institute of Management (ERIM), … - 2004

functions. In Section 3 we consider applications of convex analysis to noncooperative game and minimax theory, Lagrangian … these proofs as transparent as possible. Remember that convex analysis deals with the study of convex cones and convex sets … convex analysis. Finally in Section 5 we list a short and probably incomplete overview on the history of convex and …

Persistent link: https://www.econbiz.de/10010731440

Introduction to Convex and Quasiconvex Analysis

Frenk, J.B.G.; Kassay, G. - Erasmus Research Institute of Management (ERIM), ERIM … - 2004

Persistent link: https://www.econbiz.de/10005288660

Penalized likelihood regression for generalized linear models with non-quadratic penalties

Antoniadis, Anestis; Gijbels, Irène; Nikolova, Mila - In: Annals of the Institute of Statistical Mathematics 63 (2011) 3, pp. 585-615

Persistent link: https://www.econbiz.de/10008925550

Equivalent Results in Minimax Theory

Frenk, Frenk, J.B.G.; Kassay, G.; Kolumban, J. - Erasmus Research Institute of Management (ERIM), … - 2002

In this paper we review known minimax results with applications in game theory and show that these results are easy consequences of the first minimax result for a two person zero sum game with finite strategy sets published by von Neumann in 1928: Among these results are the well known minimax...

Persistent link: https://www.econbiz.de/10010731488

Equivalent Results in Minimax Theory

Frenk, J.B.G.; Kassay, G.; Kolumban, J. - Erasmus Research Institute of Management (ERIM), ERIM … - 2002

Persistent link: https://www.econbiz.de/10005051721

Nonparametric Adverse Selection Problems

Carlier, Guillaume - Université Paris-Dauphine (Paris IX) - 2002

This article is devoted to adverse selection problems in which individual private information is a whole utility function and cannot be reduced to some finite-dimensional parameter. In this case, incentive-compatibility conditions can be conveniently expressed using some abstract convexity...

Persistent link: https://www.econbiz.de/10010707036

Notes on optimal transportation

Ekeland, Ivar - In: Economic Theory 42 (2010) 2, pp. 437-459

Persistent link: https://www.econbiz.de/10008491504