Dual representations for convex risk measures via conjugate duality

DOI10.1007/s10957-009-9595-3zbMath1187.91091MaRDI 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

zbMATH Keywords

conjugate functions; conjugate duality; convex risk measures; convex deviation measures

Mathematics Subject Classification ID

90C25: Convex programming

90C46: Optimality conditions and duality in mathematical programming

49N15: Duality theory (optimization)

Related Items

Analytic characterizations of Mazur's intersection property via convex functions, Looking for appropriate qualification conditions for subdifferential formulae and dual representations for convex risk measures, 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