Optimization of convex risk functions

• 成果类型: Article
• 署名作者: Ruszczynski, Andrzej; Shapiro, Alexander
• 署名单位: Rutgers University System; Rutgers University New Brunswick; University System of Georgia; Georgia Institute of Technology
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.1050.0186
• 发表日期: 2006
• 页码: 433-452
• 关键词: stochastic-dominance; coherent

摘要

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.