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

utilityconvex analysisriskconjugate duality

Mathematics Subject Classification ID

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

Recommendations

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• Optimal risk allocation for convex risk functionals in general risk domains
• Convex risk measures and the dynamics of their penalty functions

Cites work

• scientific article; zbMATH DE number 1266748 (Why is no real title available?)
• AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
• Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
• 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
• 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

(13)

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

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• ROME

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