Dual representations for convex risk measures via conjugate duality
type: Item
instance of: scholarly article
title: Dual representations for convex risk measures via conjugate duality
zbMATH Open document ID: 1187.91091
author: Radu I. Boţ
author: Gert Wanka
author: Nicole Lorenz
published in: Journal of Optimization Theory and Applications
publication date: 2010-04-13T00:00:00Z
review text: 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.
reviewed by: Giovanni Puccetti
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 90C46
Mathematics Subject Classification ID: 90C25
Mathematics Subject Classification ID: 49N15
zbMATH DE Number: 5692382
zbMATH Keywords: conjugate functions
zbMATH Keywords: conjugate duality
zbMATH Keywords: convex risk measures
zbMATH Keywords: convex deviation measures
MaRDI profile type: Publication
full work available at URL: s10957-009-9595-3
OpenAlex ID: W1966069966
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DOI: 10.1007/S10957-009-9595-3
description: scientific article; zbMATH DE number 5692382