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Optimization of Convex Risk Functions

Ruszczynski, Andrzej; Shapiro, Alexander - EconWPA - 2004

and duality theory for problems involving risk functions. …

Persistent link: https://www.econbiz.de/10005076666

Inverse stochastic dominance constraints and rank dependent expected utility theory

Dentcheva, Darinka; Ruszczynski, Andrzej - EconWPA - 2005

. We develop optimality conditions and duality theory for problems with Lorenz dominance constraints. We prove that …

Persistent link: https://www.econbiz.de/10005125607

Public Inputs and Productivty in the Agricultural Sector: A Dynamic Dual Approach

Onofri, Alejandro; Fulginiti, Lilyan E. - EconWPA - 2005

presented in this study is based on dynamic duality theory and incorporate public goods (public capital and R&D) as external … effects of them. Moreover, the Le Chatelier principle is extended for this dynamic duality modelin which the public factors …

Persistent link: https://www.econbiz.de/10005556167

Optimization of Risk Measures

Ruszczynski, Andrzej; Shapiro, Alexander - EconWPA - 2004

We consider optimization problems involving coherent risk measures. We derive necessary and sufficient conditions of optimality for these problems, and we discuss the nature of the nonanticipativity constraints. Next, we introdice dynamic risk measures, and we formulate multistage optimization...

Persistent link: https://www.econbiz.de/10005561059

Portfolio Optimization With Stochastic Dominance Constraints

Dentcheva, Darinka; Ruszczynski, Andrzej - EconWPA - 2004

portfolio return. We develop optimality and duality theory for these models. We construct equivalent optimization models with …

Persistent link: https://www.econbiz.de/10005561562