Optimization of expected shortfall on convex sets

被引:0
|
作者
Kountzakis, Christos E. [1 ]
机构
[1] Univ Aegean, Dept Math, GR-83200 Samos, Greece
关键词
expected shortfall; coherent risk measures; expectation-bounded risk measures; saddle-points; subgradient; RISK MEASURES;
D O I
10.1007/s10986-013-9218-4
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
In this article, we prove that the minimization problem of the expected shortfall over a convex but not necessarily closed set of financial positions has a solution. We provide both minimax and variational approaches on this problem. In the case where the optimization conclusions arise from the application of subgradient arguments, we need the assumption that the set of financial positions is closed.
引用
收藏
页码:412 / 422
页数:11
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