Dual representations for convex risk measures via conjugate duality
From MaRDI portal
Publication:963653
DOI10.1007/s10957-009-9595-3zbMath1187.91091OpenAlexW1966069966MaRDI QIDQ963653
Gert Wanka, Radu Ioan Boţ, Nicole Lorenz
Publication date: 13 April 2010
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-009-9595-3
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (3)
Looking for appropriate qualification conditions for subdifferential formulae and dual representations for convex risk measures ⋮ Analytic characterizations of Mazur's intersection property via convex functions ⋮ Conditionally evenly convex sets and evenly quasi-convex maps
Cites Work
- Unnamed Item
- Optimality conditions for portfolio optimization problems with convex deviation measures as objective functions
- Convex measures of risk and trading constraints
- Generalized deviations in risk analysis
- A weaker regularity condition for subdifferential calculus and Fenchel duality in infinite dimensional spaces.
- Subdifferential representations of risk measures
- Optimality conditions in portfolio analysis with general deviation measures
- Coherent Measures of Risk
- Portfolio Optimization Under a Minimax Rule
- An Existence Theorem in Vector Optimization
- Optimization of Convex Risk Functions
- Stochastic finance. An introduction in discrete time
This page was built for publication: Dual representations for convex risk measures via conjugate duality
