Sciweavers

Free Online Productivity Tools i2Speak i2Symbol i2OCR iTex2Img iWeb2Print iWeb2Shot i2Type iPdf2Split iPdf2Merge i2Bopomofo i2Arabic i2Style i2Image i2PDF iLatex2Rtf Sci2ools

25

MOR
2006

favoriteEmaildiscussreport

94views more MOR 2006»

Conditional Risk Mappings

13 years 11 months ago

Conditional Risk Mappings

Download www.ise.ufl.edu

We introduce an axiomatic definition of a conditional convex risk mapping and we derive its properties. In particular, we prove a representation theorem for conditional risk mappings in terms of conditional expectations. We also develop dynamic programming relations for multistage optimization problems involving conditional risk mappings. Key words: Risk, Convex Analysis, Conjugate Duality, Stochastic Optimization, Dynamic Programming, Multi-stage Programming.

Andrzej Ruszczynski, Alexander Shapiro

Real-time Traffic

Conditional Convex Risk | Conditional Risk Mappings | MOR 2006 | Risk Mappings |

claim paper

Related Content

» On the Bayes risk in informationhiding protocols

» Subdifferential representations of risk measures

» Efficient Portfolio Optimization with Conditional Value at Risk

» Conditional ValueatRisk in Stochastic Programs with MixedInteger Recourse

» Conditional value at risk and related linear programming models for portfolio optimization

» Financial risk measurement with imprecise probabilities

» An Evolutionary Basis for Preference Behavior in Decision Making under Risk

» Beneficial changes in dependence structures and twomoment decision models

» A confidence interval for tail conditional expectation via twolevel simulation

Post Info
More Details (n/a)

Added	14 Dec 2010
Updated	14 Dec 2010
Type	Journal
Year	2006
Where	MOR
Authors	Andrzej Ruszczynski, Alexander Shapiro

Comments (0)