Data di Pubblicazione:
2011
Citazione:
Dual representation of quasi-convex conditional maps / M. Frittelli, M. Maggis. - In: SIAM JOURNAL ON FINANCIAL MATHEMATICS. - ISSN 1945-497X. - 2:1(2011 May 24), pp. 357-382. [10.1137/09078033X]
Abstract:
We provide a dual representation of quasi-convex maps between two locally convex lattices of random variables, in terms of conditional expectations. This generalizes the dual representation of quasi-convex real valued functions and the dual representation of conditional convex maps. These results were inspired by the theory of dynamic measurements of risk and are applied in this context.
Tipologia IRIS:
01 - Articolo su periodico
Keywords:
Quasi-convex functions ; dual representation ; quasi-convex optimization ; dynamic risk measures ; conditional certainty equivalent
Elenco autori:
M. Frittelli, M. Maggis
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