Optimization of Convex Risk Functions
32 Pages Posted: 2 Mar 2005
Date Written: January 28, 2004
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
JEL Classification: C44, C61, D81
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