Optimization of Convex Risk Functions (Q5387990)

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scientific article; zbMATH DE number 5279683
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Optimization of Convex Risk Functions
scientific article; zbMATH DE number 5279683

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    Optimization of Convex Risk Functions (English)
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    27 May 2008
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    convex analysis
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    stochastic optimization
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    risk measures
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    duality
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    Summary: 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 with convex risk functions. (English)
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