Dual representations for convex risk measures via conjugate duality (Q963653)
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scientific article; zbMATH DE number 5692382
| Language | Label | Description | Also known as |
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| English | Dual representations for convex risk measures via conjugate duality |
scientific article; zbMATH DE number 5692382 |
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Dual representations for convex risk measures via conjugate duality (English)
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13 April 2010
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The authors calculate the conjugate function of several convex risk measures and convex deviation measures. To this aim, advanced tools from convex analysis as well as conjugate duality theory are used. The paper turns out to be rather technical, with theoretical examples only.
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conjugate functions
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conjugate duality
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convex risk measures
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convex deviation measures
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