Optimization of convex risk functions

Optimization of convex risk functions

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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: ,
Keywords: optimization
Abstract:

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.

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