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Risk and Utility in the Duality Framework of Convex Analysis

  • R. Tyrrell RockafellarEmail author
Conference paper
  • 44 Downloads
Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 313)

Abstract

Measures of risk have grown in importance in expressing preferences between different manifestations of uncertain cost or loss in finance and engineering, but utility functions and expected utility have had a more traditional role. This article surveys how risk and utility are in fact more closely related than may have been appreciated by practitioners. The tools of convex analysis, including conjugate duality, are able to bring this out.

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Copyright information

© Springer Nature Switzerland AG 2020

Authors and Affiliations

  1. 1.Department of MathematicsUniversity of WashingtonSeattleUSA

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