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2004-03-25Buch DOI: 10.18452/8315
Optimization of Convex Risk Functions
dc.contributor.authorRuszczynski, Andrzej
dc.contributor.authorShapiro, Alexander
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T19:58:01Z
dc.date.available2017-06-16T19:58:01Z
dc.date.created2006-03-02
dc.date.issued2004-03-25
dc.date.submitted2004-03-09
dc.identifier.urihttp://edoc.hu-berlin.de/18452/8967
dc.description.abstractWe 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectrisk measureseng
dc.subjectstochastic optimizationeng
dc.subjectdualityeng
dc.subjectConvex analysiseng
dc.subjectmean-variance modelseng
dc.subject.ddc510 Mathematik
dc.titleOptimization of Convex Risk Functions
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10059470
dc.identifier.doihttp://dx.doi.org/10.18452/8315
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.pages26
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2004
local.edoc.container-issue8
local.edoc.container-erstkatid2936317-2

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