Optimization of Convex Risk Functions (2004)
by
Andrzej Ruszczyński
,
Alexander Shapiro
| Citations: | 31 - 6 self |
BibTeX
@MISC{Ruszczyński04optimizationof,
author = {Andrzej Ruszczyński and Alexander Shapiro},
title = {Optimization of Convex Risk Functions},
year = {2004}
}
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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.
