Strong Convexity in Stochastic Programs with Deviation Risk Measures

2018/02/19 by Matthias Claus, Claus, Matthias, Rüdiger Schultz +3
Decision Sciences · Economics, Econometrics and Finance · #Economic theories and models #FOS: Mathematics #Optimization and Control (math.OC) #Risk and Portfolio Optimization #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1802.06585

openalex publication_date 2018/02/19 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We give sufficient conditions for the expected excess and the upper semideviation of recourse functions to be strongly convex. This is done in the setting of two-stage stochastic programs with complete linear recourse and random right-hand side. This work extends results on strong convexity of risk-neutral models.

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