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Duality for Set-Valued Measures of Risk - MaRDI portal

Duality for Set-Valued Measures of Risk (Q3402360)

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Duality for Set-Valued Measures of Risk
scientific article

    Statements

    title
    Duality for Set-Valued Measures of Risk (English)
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    author
    Andreas H. Hamel
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    Frank Heyde
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    publication date
    3 February 2010
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    zbMATH Keywords
    set-valued risk measures
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    coherent risk measures
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    Legendre-Fenchel transform
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    convex duality
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    value at risk
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    Identifiers

    DOI
    10.1137/080743494
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    Mathematics Subject Classification ID
    91B30
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    46A20
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    46N10
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    26E25
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    zbMATH DE Number
    5665833
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    Wikidata QID
    Q29541305
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    OpenAlex ID
    W1993455616
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