Dual Representations for Convex Risk Measures viaConjugate Duality

Dual Representations for Convex Risk Measures viaConjugate Duality

The aim of this paper is to give dual representations for different convex risk measures by employing their conjugate functions. To establish the formulas for the conjugates, we use on the one hand some classical results from convex analysis and on the other hand some tools from the conjugate dualit...

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Veröffentlicht in:Journal of optimization theory and applications 2010-02, Vol.144 (2), p.185-203
Hauptverfasser: Bo, R I, Lorenz, N, Wanka, G
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Lorenz, N
Wanka, G
description The aim of this paper is to give dual representations for different convex risk measures by employing their conjugate functions. To establish the formulas for the conjugates, we use on the one hand some classical results from convex analysis and on the other hand some tools from the conjugate duality theory. Some characterizations of so-called deviation measures recently given in the literature turn out to be direct consequences of our results.
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