Optimization of Convex Risk Functions
32 Pages Posted: 2 Mar 2005
Date Written: January 28, 2004
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
JEL Classification: C44, C61, D81
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Master Funds in Portfolio Analysis with General Deviation Measures
-
By Stoyan V. Stoyanov, Svetlozar Rachev, ...
-
Equilibrium With Investors Using a Diversity of Deviation Measures
-
Probability Metrics Applied to Problems in Portfolio Theory
By Stoyan V. Stoyanov, Svetlozar Rachev, ...
-
Portfolio Selection with Multiple Spectral Risk Constraints
By Carlos Abad and Garud Iyengar