Conditional Risk Mappings
AbstractWe introduce an axiomatic definition of a conditional convex risk mapping. By employing the techniques of conjugate duality we derive properties of conditional risk mappings. In particular, we prove a representation theorem for conditional risk mappings in terms of conditional expectations. We also develop dynamic programming relations for multistage optimization problems involving conditional risk mappings.
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Bibliographic InfoPaper provided by EconWPA in its series Risk and Insurance with number 0404002.
Length: 21 pages
Date of creation: 12 Apr 2004
Date of revision: 08 Oct 2005
Note: Type of Document - pdf; pages: 21
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Risk; Convex Analysis; Conjugate Duality; Stochastic Optimization; Dynamic Programming; Multi-Stage Programming;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-04-18 (All new papers)
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