A duality theory for set-valued functions. I: Fenchel conjugation theory

DOI10.1007/S11228-009-0109-0zbMATH Open1168.49031OpenAlexW2080109437MaRDI QIDQ833019FDOQ833019

Authors: Andreas H. Hamel 

Publication date: 11 August 2009

Published in: Set-Valued and Variational Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11228-009-0109-0

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Mathematics Subject Classification ID

Set-valued and variational analysis (49J53) Convex functions and convex programs in convex geometry (52A41) Duality theory (optimization) (49N15)

Cites Work

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Cited In (52)

• Time consistency of dynamic risk measures in markets with transaction costs
• Systemic risk statistics with scenario analysis
• Fenchel duality for convex set functions
• Set-valued law invariant coherent and convex risk measures
• The existence of contingent epiderivative for a set-valued mapping and vector variational-like inequalities
• On generalized Fenchel-Moreau theorem and second-order characterization for convex vector functions
• Duality for closed convex functions and evenly convex functions
• Applying set optimization to weak efficiency
• Set-valued risk statistics with scenario analysis
• Lagrange multipliers, duality, and sensitivity in set-valued convex programming via pointed processes
• A characterization theorem for Aumann integrals
• Set-valued Haezendonck-Goovaerts risk measure and its properties
• Duality results involving functions associated to nonempty subsets of locally convex spaces
• Conjugaison par tranches
• A set optimization approach to utility maximization under transaction costs
• Solution concepts in vector optimization: a fresh look at an old story
• Complete duality for quasiconvex and convex set-valued functions
• Nonlinear expectations of random sets
• Set Relations via Families of Scalar Functions and Approximate Solutions in Set Optimization
• A set-valued Lagrange theorem based on a process for convex vector programming
• Dual representations for convex risk measures via conjugate duality
• Scalar Multivariate Risk Measures with a Single Eligible Asset
• Continuity concepts for set-valued functions and a fundamental duality formula for set-valued optimization
• Representations of set-valued risk measures defined on the \(l\)-tensor product of Banach lattices
• SET-VALUED CASH SUB-ADDITIVE RISK MEASURES
• Set-valued dynamic risk measures for bounded discrete-time processes
• Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
• A Minty variational principle for set optimization
• Set-valued evenly convex functions: characterizations and C-conjugacy
• A Fenchel-Moreau theorem for $\bar L^0$-valued functions
• Vector topical function, abstract convexity and image space analysis
• Time consistency for scalar multivariate risk measures
• Set-valued risk measures for conical market models
• Notes on extended real- and set-valued functions
• Multi-portfolio time consistency for set-valued convex and coherent risk measures
• Lagrange duality in set optimization
• A Fenchel-Rockafellar duality theorem for set-valued optimization
• Capital allocation for set-valued risk measures
• Set-valued dynamic risk measures for processes and for vectors
• Regulator-based risk statistics for portfolios
• Acceptability indexes for portfolio vectors
• Lagrange duality, stability and subdifferentials in vector optimization
• A supermartingale relation for multivariate risk measures
• Multivariate coherent risk measures induced by multivariate convex risk measures
• Set optimization meets variational inequalities
• Benson type algorithms for linear vector optimization and applications
• Scalar representation and conjugation of set-valued functions
• Set-valued shortfall and divergence risk measures
• Capital allocation with multivariate convex risk measures
• Set-valued loss-based risk measures
• Coherent and convex loss-based risk measures for portfolio vectors
• An algorithm to solve polyhedral convex set optimization problems

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