This volume presents five surveys with extensivebibliographies and six original contributions on set optimization and its applicationsin mathematical finance and game theory. The topics range from moreconventional approaches that look for minimal/maximal elements with respect tovector orders or set relations, to the new complete-lattice approach thatcomprises a coherent solution concept for set optimization problems, along withexistence results, duality theorems, optimality conditions, variationalinequalities and theoretical foundations for algorithms. Modern approaches toscalarization methods can be found as well as a fundamental contribution to conditionalanalysis. The theory is tailor-made for financial applications, in particular riskevaluation and [super-]hedging for market models with transaction costs, but italso provides a refreshing new perspective on vector optimization. There is nocomparable volume on the market, making the book an invaluable resource forresearchers working in vector optimization and multi-criteria decision-making, mathematicalfinance and economics as well as [set-valued] variational analysis.
Schlagwörter zu:
Set Optimization and Applications - The State of the Art von Andreas H Hamel - mit der ISBN: 9783662486702
49-06, 90-06, 91Gxx, 06-xx, 49J53, 49N15, 49M29; complete lattice approach; duality; multi-criteria decision making; quantitative finance; scalarization methods; set optimization; set-valued risk measures; C; Mathematics in Business, Economics and Finance; Order, Lattices, Ordered Algebraic Structures; Calculus of Variations and Optimization; Continuous Optimization; Mathematics and Statistics, Online-Buchhandlung
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