Conditional Risk Mappings
28 Pages Posted: 4 May 2005
Date Written: April 26, 2005
We introduce an axiomatic definition of a conditional convex risk mapping and we derive its properties. In particular, we prove a representation theorem for conditional risk mappings in terms of conditional expectations. We also develop dynamic programming relations for multistage optimization problems involving conditional risk mappings.
Keywords: Risk, convex analysis, conjugate duality, dynamic programming
JEL Classification: C44, C61, D81
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