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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
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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
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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
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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