|edoc-Server der Humboldt-Universität zu Berlin|
Andrzej Ruszczynski, Rutgers University|
Alexander Shapiro, Georgia Institute of Technology
|Title:||Optimization of Convex Risk Functions|
|Date of Acceptance:||25.03.2004|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Complete Preprint:||pdf (urn:nbn:de:kobv:11-10059470)|
|Keywords (eng):||risk measures, stochastic optimization, duality, Convex analysis, mean-variance models|
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|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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