Looking for appropriate qualification conditions for subdifferential formulae and dual representations for convex risk measures

DOI10.1007/s00186-011-0359-0zbMath1257.49035arXiv1005.2487MaRDI QIDQ1935901

Alina-Ramona Frătean, Radu Ioan Boţ

Publication date: 20 February 2013

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1005.2487

zbMATH Keywords

convex risk measures; qualification conditions; optimized certainty equivalent; monotone and cash-invariant hulls

Mathematics Subject Classification ID

90C25: Convex programming

90C46: Optimality conditions and duality in mathematical programming

49N15: Duality theory (optimization)

Related Items

Convex risk minimization via proximal splitting methods

Cites Work

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