Optimization of Convex Risk Functions
Andrzej Ruszczynski () and
Alexander Shapiro ()
Risk and Insurance from EconWPA
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.
Keywords: Convex analysis; stochastic optimization; risk measures; mean- variance models; duality (search for similar items in EconPapers)
Date: 2004-04-12, Revised 2005-10-08
Note: Type of Document - pdf; pages: 26
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (21) Track citations by RSS feed
Downloads: (external link)
Our link check indicates that this URL is bad, the error code is: 404 Not Found
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpri:0404001
Access Statistics for this paper
More papers in Risk and Insurance from EconWPA
Series data maintained by EconWPA ().