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Convexity and Differentiability of Controlled Risk

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Abstract

We investigate risk associated with the violation of a constraint, which is desirable but hardly satisfiable in all possible states of nature.

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Authors
  1. L. I. Krechetov
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Krechetov, L.I. Convexity and Differentiability of Controlled Risk. Theor Decis 57, 291–307 (2004). https://doi.org/10.1007/s11238-005-3219-7

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  • DOI: https://doi.org/10.1007/s11238-005-3219-7

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