Dual representations for convex risk measures via conjugate duality

DOI10.1007/S10957-009-9595-3zbMATH Open1187.91091OpenAlexW1966069966MaRDI QIDQ963653FDOQ963653

Authors: Radu I. Boţ, Gert Wanka, 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

Recommendations

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zbMATH Keywords

conjugate functionsconvex risk measuresconjugate dualityconvex deviation measures

Mathematics Subject Classification ID

Convex programming (90C25) Optimality conditions and duality in mathematical programming (90C46) Duality theory (optimization) (49N15)

Cites Work

• Coherent measures of risk
• Generalized deviations in risk analysis
• Title not available (Why is that?)
• Convex measures of risk and trading constraints
• Stochastic finance. An introduction in discrete time
• Optimization of Convex Risk Functions
• Optimality conditions in portfolio analysis with general deviation measures
• A weaker regularity condition for subdifferential calculus and Fenchel duality in infinite dimensional spaces.
• Portfolio optimization under a minimax rule
• An Existence Theorem in Vector Optimization
• Subdifferential representations of risk measures
• Optimality conditions for portfolio optimization problems with convex deviation measures as objective functions

Cited In (15)

• Dual representation of quasi-convex conditional maps
• Complete duality for quasiconvex dynamic risk measures on modules of the \(L^p\)-type
• Analytic characterizations of Mazur's intersection property via convex functions
• On the dual representation of coherent risk measures
• Representation and approximation of convex dynamic risk measures with respect to strong–weak topologies
• Optimization of Convex Risk Functions
• A duality theory for set-valued functions. I: Fenchel conjugation theory
• Looking for appropriate qualification conditions for subdifferential formulae and dual representations for convex risk measures
• Risk measures in the form of infimal convolution
• Convex risk measures based on divergence
• General dual measures of riskiness
• Risk and Utility in the Duality Framework of Convex Analysis
• Old-new methods for computing subdifferential formulae for convex risk functions
• Kusuoka representation of higher order dual risk measures
• Conditionally evenly convex sets and evenly quasi-convex maps

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