Risk and Utility in the Duality Framework of Convex Analysis
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Publication:3298014
DOI10.1007/978-3-030-36568-4_3zbMATH Open1444.91091OpenAlexW3011669652MaRDI QIDQ3298014FDOQ3298014
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
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Cites Work
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- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- Stochastic finance. An introduction in discrete time
- Integrals which are convex functionals
- Axiomatic foundations of multiplier preferences
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- AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
- Random variables, monotone relations, and convex analysis
- Common mathematical foundations of expected utility and dual utility theories
- Distributionally Robust Convex Optimization
- Superquantile/CVaR risk measures: second-order theory
- Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity
Cited In (13)
- Title not available (Why is that?)
- On the dual of the solvency cone
- On \(s\)-convexity and risk aversion
- Title not available (Why is that?)
- 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
- Scalar and Vector Risk in the General Framework of Portfolio Theory
- Duality theory for robust utility maximisation
- Risk measures, convexity, and max-min shortfalls
- Convex risk measures based on divergence
- Convex risk measures for portfolio optimization and concepts of flexibility
- A contribution to duality theory, applied to the measurement of risk aversion
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