Extreme points of moment sets

Extreme points of moment sets

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Article ID: iaor1988251
Country: United States
Volume: 13
Issue: 4
Start Page Number: 581
End Page Number: 587
Publication Date: Nov 1988
Journal: Mathematics of Operations Research
Authors:
Abstract:

The extreme points of sets of probability measures-determined by a finite number of generalized moment conditions-are characterized. Together with an integral representation theorem the characterization is used to optimize affine functions.

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