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Extreme Points of Moment Sets

Gerhard Winkler

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Source: Crossref

Published: Nov 1, 1988

DOI: 10.1287/moor.13.4.581

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Source abstract

The extreme points of sets of probability measures—determined by a finite number of generalized moment conditions—are characterized. Together with an integral representation theorem the characterization is used to optimize affine functionals.

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