Nicole Lorenz, Gert Wanka: The Subdifferential of Convex Deviation Measures and Risk Functions

Author(s):

Nicole Lorenz
Gert Wanka

Title:

Nicole Lorenz, Gert Wanka: The Subdifferential of Convex Deviation Measures and Risk Functions

Electronic source:

application/pdf

Preprint series:

Technische Universität Chemnitz, Fakultät für Mathematik (Germany). Preprint 01, 2012

Mathematics Subject Classification:

46N10	[]
49N15	[]

Abstract:

In this paper we give subdifferential formulas of some convex deviation measures using their conjugate functions and theorems that give the subdifferential of a composition of two functions. Further, we derive other formulas according to a paper of Ruszczyski and Shapiro and the subdifferential of some risk functions.

Keywords:

Subdifferentials, conjugate functions, deviation measures, risk functions

Language:

English

Publication time:

01/2012