We provide a dual representation of quasi-convex maps between two locally convex lattices of random variables, in terms of conditional expectations. This generalizes the dual representation of quasi-convex real valued functions and the dual representation of conditional convex maps. These results were inspired by the theory of dynamic measurements of risk and are applied in this context.

Dual representation of quasi-convex conditional maps / M. Frittelli, M. Maggis. - In: SIAM JOURNAL ON FINANCIAL MATHEMATICS. - ISSN 1945-497X. - 2:1(2011 May 24), pp. 357-382. [10.1137/09078033X]

Dual representation of quasi-convex conditional maps

M. Frittelli
Primo
;
M. Maggis
Ultimo
2011

Abstract

We provide a dual representation of quasi-convex maps between two locally convex lattices of random variables, in terms of conditional expectations. This generalizes the dual representation of quasi-convex real valued functions and the dual representation of conditional convex maps. These results were inspired by the theory of dynamic measurements of risk and are applied in this context.
English
Quasi-convex functions ; dual representation ; quasi-convex optimization ; dynamic risk measures ; conditional certainty equivalent
Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie
Settore MAT/06 - Probabilita' e Statistica Matematica
Articolo
Esperti anonimi
24-mag-2011
Society for Industrial and Applied Mathematics
2
1
357
382
Pubblicato
Periodico con rilevanza internazionale
info:eu-repo/semantics/article
Dual representation of quasi-convex conditional maps / M. Frittelli, M. Maggis. - In: SIAM JOURNAL ON FINANCIAL MATHEMATICS. - ISSN 1945-497X. - 2:1(2011 May 24), pp. 357-382. [10.1137/09078033X]
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M. Frittelli, M. Maggis
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/157614
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