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6

MOR
2006

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Conditional Risk Mappings

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Conditional Risk Mappings

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We introduce an axiomatic definition of a conditional convex risk mapping and we derive its properties. 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. Key words: Risk, Convex Analysis, Conjugate Duality, Stochastic Optimization, Dynamic Programming, Multi-stage Programming.

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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