Financial Engineering Seminar
March, 5, 2004(Fri), 3:00pm
3:00 PM - 3:50 PM(8th period),
Weil Hall 303
OPTIMIZATION OF CONVEX RISK FUNCTIONS
Abstract:
We consider optimization problems involving convex risk functions. By employing techniques of convex analysis and optimization theory in vector spaces of measurable functions we derive representations of risk functions in terms of conditional expectations. We also present duality theory and derive dynamic programming equations for multistage optimization
problems involving risk functions. This talk is based on a joint work with Andrzej Ruszczynski.
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