Risk and Utility in the Duality Framework of Convex Analysis

DOI10.1007/978-3-030-36568-4_3MaRDI QIDQ3298014zbMATH OpenOpenAlexFDO

Authors R. T. Rockafellar

Publication date 21 July 2020

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-36568-4_3

zbMATH Keywords

conjugate dualityconvex analysisriskutility

Mathematics Subject Classification ID

Risk models (general) (91B05) Utility theory (91B16)

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Cites work

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• AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
• Axiomatic foundations of multiplier preferences
• Coherent measures of risk
• Common mathematical foundations of expected utility and dual utility theories
• Distributionally Robust Convex Optimization
• Distributionally robust optimization and its tractable approximations
• Generalized deviations in risk analysis
• scientific article; zbMATH DE number 1266748 (Why is no real title available?)
• Integrals which are convex functionals
• Maxmin expected utility with non-unique prior
• Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity
• Random variables, monotone relations, and convex analysis
• Robust convex optimization
• Robust optimization
• Stochastic finance. An introduction in discrete time
• Superquantile/CVaR risk measures: second-order theory

Cited in

(15)

• Certainty equivalents and information measures: Duality and extremal principles
• Duality theory for robust utility maximisation
• Concave/convex weighting and utility functions for risk: a new light on classical theorems
• On the dual of the solvency cone
• Convex risk measures for portfolio optimization and concepts of flexibility
• Risk measures, convexity, and max-min shortfalls
• scientific article; zbMATH DE number 4047589 (Why is no real title available?)
• scientific article; zbMATH DE number 7033720 (Why is no real title available?)
• Convex risk measures based on divergence
• Convex analysis approach to utility theories. Dual utility
• On s-convexity and risk aversion
• Scalar and Vector Risk in the General Framework of Portfolio Theory
• Risk-adaptive approaches to stochastic optimization: a survey
• A contribution to duality theory, applied to the measurement of risk aversion
• Dual representations for convex risk measures via conjugate duality

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