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Corrigendum to: "optimization of convex risk functions," Mathematics of Operations Research 31 (2006) 433-452.

Publication: Mathematics of Operations Research
Publication Date: 01-MAY-07
Format: Online
Delivery: Immediate Online Access
Full Article Title: Corrigendum to: "optimization of convex risk functions," Mathematics of Operations Research 31 (2006) 433-452.(Correction notice)

Article Excerpt
Proposition 6.2 is not correct, because the set dom([[rho].sup.*]) may be not [weakly.sup.*] compact. The correct statement should read as follows:

PROPOSITION 6.2. Suppose that H is a Banach space, Y = [H.sup.*], the mapping F: L [right arrow] H is convex, the function [rho]: H [right arrow] R is proper, lower semicontinuous and assumptions (A1)-(A4) are satisfied. If [rho] is continuous at 0, then the optimal value of problem (6.1) is equal to the optimal value of problem (6.4). Moreover, problem (6.4)...

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