Dual Representations for Convex Risk Measures via Conjugate Duality

R. I. Boţ, N. Lorenz and G. Wanka ()
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R. I. Boţ: Chemnitz University of Technology
N. Lorenz: Chemnitz University of Technology
G. Wanka: Chemnitz University of Technology

Journal of Optimization Theory and Applications, 2010, vol. 144, issue 2, No 1, 185-203

Abstract: Abstract The aim of this paper is to give dual representations for different convex risk measures by employing their conjugate functions. To establish the formulas for the conjugates, we use on the one hand some classical results from convex analysis and on the other hand some tools from the conjugate duality theory. Some characterizations of so-called deviation measures recently given in the literature turn out to be direct consequences of our results.

Keywords: Conjugate functions; Conjugate duality; Convex risk measures; Convex deviation measures (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1007/s10957-009-9595-3

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