Optimization of Convex Risk Functions
AbstractWe 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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Bibliographic InfoPaper provided by EconWPA in its series Risk and Insurance with number 0404001.
Length: 26 pages
Date of creation: 12 Apr 2004
Date of revision: 08 Oct 2005
Note: Type of Document - pdf; pages: 26
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Convex analysis; stochastic optimization; risk measures; mean- variance models; duality;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-04-18 (All new papers)
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