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MOR
2006

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Optimization of Convex Risk Functions

13 years 4 months ago

Optimization of Convex Risk Functions

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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. Key words: Convex analysis, stochastic optimization, risk measures, mean-variance models, duality.

Andrzej Ruszczynski, Alexander Shapiro

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Added	14 Dec 2010
Updated	14 Dec 2010
Type	Journal
Year	2006
Where	MOR
Authors	Andrzej Ruszczynski, Alexander Shapiro

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