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

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  • Radu Boţ
  • Alina-Ramona Frătean

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

Suggested Citation

  • Radu Boţ & Alina-Ramona Frătean, 2011. "Looking for appropriate qualification conditions for subdifferential formulae and dual representations for convex risk measures," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 74(2), pages 191-215, October.
    • Handle: RePEc:spr:mathme:v:74:y:2011:i:2:p:191-215
    DOI: 10.1007/s00186-011-0359-0
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    References listed on IDEAS

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