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Optimization of Convex Risk Functions

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Author Info
Andrzej Ruszczynski (Rutgers University)
Alexander Shapiro (Georgia Institute of Technology)

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Abstract

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.

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File URL: http://129.3.20.41/eps/ri/papers/0404/0404001.pdf
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Publisher Info
Paper provided by EconWPA in its series Risk and Insurance with number 0404001.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 26 pages
Date of creation: 12 Apr 2004
Date of revision: 08 Oct 2005
Handle: RePEc:wpa:wuwpri:0404001

Note: Type of Document - pdf; pages: 26
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Web page: http://129.3.20.41

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Related research
Keywords: Convex analysis; stochastic optimization; risk measures; mean- variance models; duality;

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This paper has been announced in the following NEP Reports: References listed on IDEAS
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  1. Ogryczak, Wlodzimierz & Ruszczynski, Andrzej, 1999. "From stochastic dominance to mean-risk models: Semideviations as risk measures," European Journal of Operational Research, Elsevier, vol. 116(1), pages 33-50, July. [Downloadable!] (restricted)
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  2. Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447. [Downloadable!] (restricted)
    Other versions:
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Conditional Risk Mappings," Risk and Insurance 0404002, EconWPA, revised 08 Oct 2005. [Downloadable!]
  2. Alejandro Balbás & Raquel Balbás, 2009. "Compatibility between pricing rules and risk measures: The CCVaR," Business Economics Working Papers wb090201, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
  3. Volker Krätschmer, 2007. "On s-additive robust representation of convex risk measures for unbounded financial positions in the presence of uncertainty about the market model," SFB 649 Discussion Papers SFB649DP2007-010, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  4. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Optimization of Risk Measures," Risk and Insurance 0407002, EconWPA. [Downloadable!]
  5. Alejandro Balbas, 2008. "Capital requirements: Are they the best solution?," Business Economics Working Papers wb087114, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
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This page was last updated on 2009-12-9.

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