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

DOI10.1007/S00186-011-0359-0zbMATH Open1257.49035arXiv1005.2487OpenAlexW1544222705MaRDI QIDQ1935901FDOQ1935901

Alina-Ramona Frătean, Radu I. Boţ

Publication date: 20 February 2013

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

Abstract: A fruitful idea, when providing subdifferential formulae and dual representations for convex risk measures, is to make use of the conjugate duality theory in convex optimization. In this paper we underline the outstanding role played by the qualification conditions in the context of different problem formulations in this area. We show that not only the meanwhile classical generalized interiority point ones come here to bear, but also a recently introduced one formulated by means of the quasi-relative interior.

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

zbMATH Keywords

convex risk measuresqualification conditionsoptimized certainty equivalentmonotone and cash-invariant hulls

Mathematics Subject Classification ID

Convex programming (90C25) Optimality conditions and duality in mathematical programming (90C46) Duality theory (optimization) (49N15)

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Cited In (1)

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