Dual representations for convex risk measures via conjugate duality

DOI10.1007/S10957-009-9595-3MaRDI QIDQ963653zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1807400 (Why is no real title available?)
• A weaker regularity condition for subdifferential calculus and Fenchel duality in infinite dimensional spaces.
• An Existence Theorem in Vector Optimization
• Coherent measures of risk
• Convex measures of risk and trading constraints
• Generalized deviations in risk analysis
• Optimality conditions for portfolio optimization problems with convex deviation measures as objective functions
• Optimality conditions in portfolio analysis with general deviation measures
• Optimization of Convex Risk Functions
• Portfolio optimization under a minimax rule
• Stochastic finance. An introduction in discrete time
• Subdifferential representations of risk measures

Cited in

(15)

• Conditionally evenly convex sets and evenly quasi-convex maps
• 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
• Kusuoka representation of higher order dual risk measures
• Old-new methods for computing subdifferential formulae for convex risk functions

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