Subdifferential representations of risk measures

DOI10.1007/s10107-006-0714-8zbMath1138.91505WikidataQ59255087 ScholiaQ59255087MaRDI QIDQ2502205

Georg Ch. Pflug

Publication date: 12 September 2006

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-006-0714-8

zbMATH Keywords

duality; risk measures; stochastic dominance

Mathematics Subject Classification ID

49J52: Nonsmooth analysis

90C15: Stochastic programming

91B70: Stochastic models in economics

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Ambiguity in portfolio selection, Asymptotic distribution of law-invariant risk functionals, Dual representations for convex risk measures via conjugate duality, Stochastic programming approach to optimization under uncertainty, Entropic value-at-risk: a new coherent risk measure, Looking for appropriate qualification conditions for subdifferential formulae and dual representations for convex risk measures, Exchanges and measures of risks, Conditionally evenly convex sets and evenly quasi-convex maps, Conditional risk and acceptability mappings as Banach-lattice valued mappings

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