Conditional Risk Mappings

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type , Preprint 01 Jan 2005 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

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Authors: Andrzej Ruszczynski; Alexander Shapiro;

doi: 10.2139/ssrn.714241 , 10.1287/moor.1060.0204

Conditional Risk Mappings

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Abstract

We introduce an axiomatic definition of a conditional convex risk mapping and we derive its properties. In particular, we prove a representation theorem for conditional risk mappings in terms of conditional expectations. We also develop dynamic programming relations for multistage optimization problems involving conditional risk mappings.

Related Organizations

Georgia Institute of Technology
United States
Rutgers, The State University of New Jersey
United States

Keywords

Risk, Convex Analysis, Conjugate Duality, Stochastic Optimization, Dynamic Programming, Multi-Stage Programming

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