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Dynamic Minimization of Worst Conditional Expectation of Shortfall

✍ Scribed by Jun Sekine

Book ID
110757043
Publisher
John Wiley and Sons
Year
2004
Tongue
English
Weight
118 KB
Volume
14
Category
Article
ISSN
0960-1627

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## Abstract For an essentially bounded closed‐convex‐nonempty set‐valued random variable, it is shown that the conditional expectation is characterized by its integrals over the sets of the associated __Οƒ__ ‐field. (Β© 2006 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)