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Optimization of Convex Risk Functions

Andrzej Ruszczynski (rusz***at***rutcor.rutgers.edu)
Alexander Shapiro (ashapiro***at***isye.gatech.edu)

Abstract: We consider optimization problems involving convex risk functions. By employing techniques of convex analysis and optimization theory in vector spaces of measurable functions we develop new representation theorems for risk models, and optimality and duality theory for problems involving risk functions.

Keywords: Convex analysis, stochastic optimization, risk measures, mean-variance models, duality

Category 1: Stochastic Programming

Category 2: Applications -- OR and Management Sciences (Finance and Economics )

Citation: Preprint

Download: [PDF]

Entry Submitted: 02/02/2004
Entry Accepted: 02/02/2004
Entry Last Modified: 04/09/2007

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