Optimization of Convex Risk Functions
نویسندگان
چکیده
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 with convex risk functions.
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ورودعنوان ژورنال:
- Math. Oper. Res.
دوره 31 شماره
صفحات -
تاریخ انتشار 2006