2004-03-25Buch DOI: 10.18452/8315
Optimization of Convex Risk Functions
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.
Dateien zu dieser Publikation
Is Part Of Series: Stochastic Programming E-Print Series - 8, SPEPS