Now showing items 1-3 of 3

    • Closing the duality gap in linear vector optimization 

      Hamel, AH; Heyde, F; Löhne, A; Tammer, C; Winkler, K (2004)
      Using a set-valued dual cost function we give a new approach to duality theory for linear vector optimization problems. We develop the theory very close to the scalar case. Especially, in contrast to known results, we avoid ...
    • Duality for set-valued measures of risk 

      Hamel, AH; Heyde, F (SIAM PUBLICATIONS, 2010)
      Extending the approach of Jouini, Meddeb, and Touzi [Finance Stoch., 8 (2004), pp. 531-552] we define set-valued (convex) measures of risk and their acceptance sets, and we give dual representation theorems. A scalarization ...
    • Set-valued risk measures for conical market models 

      Hamel, AH; Heyde, F; Rudloff, B (2011)
      Set-valued risk measures on Lpd with 0≤p≤∞ for conical market models are defined, primal and dual representation results are given. The collection of initial endowments which allow to super-hedge a multivariate claim are ...