Looking for appropriate qualification conditions for subdifferential formulae and dual representations for convex risk measures

Radu Boţ () and Alina-Ramona Frătean ()

Mathematical Methods of Operations Research, 2011, vol. 74, issue 2, 215 pages

Abstract: A fruitful idea, when providing subdifferential formulae and dual representations for convex risk measures, is to make use of the conjugate duality theory in convex optimization. In this paper we underline the outstanding role played by the qualification conditions in the context of different problem formulations in this area. We show that not only the meanwhile classical generalized interiority point conditions come here to bear, but also a recently introduced one formulated by means of the quasi-relative interior. Copyright Springer-Verlag 2011

Keywords: Convex risk measures; Optimized certainty equivalent; Monotone and cash-invariant hulls; Qualification conditions; 49N15; 90C25; 90C46; 91B30 (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s00186-011-0359-0

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