On quasiconvex conditional maps. Duality results and applications to finance.pdf

On quasiconvex conditional maps. Duality results and applications to finance

Marco Maggis

Sfortunatamente, oggi, domenica, 26 agosto 2020, la descrizione del libro On quasiconvex conditional maps. Duality results and applications to finance non è disponibile su sito web. Ci scusiamo.

ON QUASICONVEX CONDITIONAL MAPS. DUALITY RESULTS AND APPLICATIONS TO FINANCE Autore: Maggis Marco Editore: Ledizioni ISBN: 9788895994598. Prezzo di listino: € 40,00 Prezzo scontato: € 38,00 Sconto: 5 % 1. 2 3 (current) 4; 5; 6; 754. LA NOSTRA LIBRERIA VIRTUALE Un vasto assortimento di libri che puoi prenotare velocemente

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8895994590 ISBN
On quasiconvex conditional maps. Duality results and applications to finance.pdf

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Note correnti

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Sofi Voighua

21 Aug 2015 ... The Conditional Value-at-Risk (CVaR) is closely linked to VaR, but provides ... representing loss, c ∈ R is a scalar representing loss, and ρ is a risk function, i.e. it maps the ... This expression is a standard result in financial literature ... one can use the strong duality theory of LP to obtain an equivalent ... 14 Mar 2015 ... thanks the National Science Foundation (SES-1153893) for financial support. ... maps and studies the duality associated with these maps, ... Sections 4–6 develop applications of the results in Section 3, explaining how ... sufficient conditions (implied by the single-crossing condition of Section 5) for a.

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Mattio Mazio

Convergence Conditions for Algorithms Modeled by Point-to-Set Maps,” in Point- ... Convergence Result from Subgradient Optimization, Mathematical Programming,. Almogy ... Zang, “Generalized Convex Functions with Applications to Nonlinear ... Karamardian, S., “Strictly Quasi-Convex (Concave) Functions and Duality in.

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Noels Schulzzi

On quasiconvex conditional maps. Duality results and applications to finance è un libro di Maggis Marco pubblicato da Ledizioni , con argomento Matematica applicata - sconto 5% - ISBN: 9788895994598 These results match the standard dual representation for quasiconvex real valued maps provided by Penot and Volle. As a financial byproduct, we apply this theory to the case of dynamic certainty equivalents and conditional risk measures.

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Jason Statham

Findings on (QCO) real valued functions go back to De Finetti. (1949), Fenchel ... As in the convex case, the dual representation of a (QCO) conditional map turns out to ... Other applications of real valued quasiconvex maps in finance (static. SIAM Journal on Financial Mathematics 2 (1), 357-382, 2011. 50, 2011 ... On quasiconvex conditional maps. duality results and applications to finance.

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Jessica Kolhmann

In the conditional setting we provide a complete duality between qua-siconvex risk measures de–ned on L0 modules of the Lp type and the appropriate class of dual functions. This is based on a general result which extends the usual Penot-Volle representation for quasiconvex real valued maps. Keywords: quasiconvex functions, dual representation