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Ruszczynski, Andrzej [Author]; Shapiro, Alexander [Author] ; Higle, Julie L. [Contributor]; Römisch, Werner [Contributor]; Sen, Surrajeet [Contributor]

Optimization of Convex Risk Functions

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  • Media type: E-Book
  • Title: Optimization of Convex Risk Functions
  • Contributor: Ruszczynski, Andrzej [Author]; Shapiro, Alexander [Author]
  • imprint: Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik, 2004-03-25
  • Language: English
  • DOI: https://doi.org/10.18452/8315
  • Keywords: Convex analysis ; duality ; mean-variance models ; risk measures ; stochastic optimization
  • Origination:
  • Footnote: Diese Datenquelle enthält auch Bestandsnachweise, die nicht zu einem Volltext führen.
  • Description: 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.
  • Access State: Open Access
  • Rights information: In Copyright