Journal
MATHEMATICS OF OPERATIONS RESEARCH
Volume 31, Issue 3, Pages 433-452Publisher
INFORMS
DOI: 10.1287/moor.1050.0186
Keywords
convex analysis; stochastic optimization; risk measures; duality
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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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