Quantcast
Channel: MoneyScience: MoneyScience's news channel - arXiv > Recent Papers in Quant Finance
Viewing all articles
Browse latest Browse all 2696

Duality in Regret Measures and Risk Measures. (arXiv:1705.00340v1 [q-fin.MF])

$
0
0

Optimization models based on coherent regret measures and coherent risk measures are of essential importance in financial management and reliability engineering. This paper studies the dual representations of these two measures. The relationship between risk envelopes and regret envelopes are established by using the Lagrangian duality theory. The notion of effective scaling domain is introduced and its properties are discussed.


Viewing all articles
Browse latest Browse all 2696

Trending Articles