Minimizing measures of risk by saddle point conditions
نویسندگان
چکیده
منابع مشابه
Minimizing measures of risk by saddle point conditions
Theminimization of risk functions is becoming a very important topic due to its interesting applications in Mathematical Finance and Actuarial Mathematics. This paper addresses this issue in a general framework. Many types of risk function may be involved. A general representation theorem of risk functions is used in order to transform the initial optimization problem into an equivalent one tha...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2010
ISSN: 0377-0427
DOI: 10.1016/j.cam.2010.04.002