Corpus ID: 124916378

Inverse Optimization of Convex Risk Functions

@inproceedings{Li2016InverseOO,
  title={Inverse Optimization of Convex Risk Functions},
  author={Jonathan Yu-Meng Li},
  year={2016}
}
  • Jonathan Yu-Meng Li
  • Published 2016
  • Mathematics, Economics
  • The theory of convex risk functions has now been well established as the basis for identifying the families of risk functions that should be used in risk averse optimization problems. Despite its theoretical appeal, the implementation of a convex risk function remains difficult, as there is little guidance regarding how a convex risk function should be chosen so that it also well represents one's own risk preferences. In this paper, we address this issue through the lens of inverse optimization… CONTINUE READING

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