|edoc-Server der Humboldt-Universität zu Berlin|
Andrzej Ruszczynski, Rutgers University|
Alexander Shapiro, Georgia Institute of Technology
|Title:||Conditional Risk Mappings|
|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:11-10059486)|
|Keywords (eng):||Risk, Convex Analysis, Conjugate Duality, Stochastic Optimization, Dynamic Programming, Multi-stage Programming|
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|We introduce an axiomatic definition of a conditional convex risk mapping and we derive its properties. 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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