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SHORTFALL RISK MINIMIZATION: THE DUAL APPROACH - MaRDI portal

SHORTFALL RISK MINIMIZATION: THE DUAL APPROACH

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DOI10.7468/JKSMEB.2012.19.2.179zbMath1254.91268OpenAlexW2016051103MaRDI QIDQ5891722

Ju Hong Kim

Publication date: 5 September 2012

Published in: The Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.7468/jksmeb.2012.19.2.179

zbMATH Keywords

incomplete markets duality theory Fenchel-Legendre transform shortfall risk

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26)

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