Article ID: | iaor200931214 |
Country: | United States |
Volume: | 31 |
Issue: | 3 |
Start Page Number: | 433 |
End Page Number: | 452 |
Publication Date: | Aug 2006 |
Journal: | Mathematics of Operations Research |
Authors: | Shapiro Alexander, Ruszczyski Andrzej |
Keywords: | optimization |
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 with convex risk functions.