Optimization of Convex Risk Functions

DOI10.1287/moor.1050.0186zbMath1278.90283OpenAlexW3125145310MaRDI QIDQ5387990

Ruszczyński, Andrzej, Alexander Shapiro

Publication date: 27 May 2008

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/9e12dddecf745401f5ead2a274359135a88a0303

zbMATH Keywords

stochastic optimizationdualityrisk measuresconvex analysis

Mathematics Subject Classification ID

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