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Problem 1 A random variable Z has realizations z1,z2,,zK, attained with probabilities p1,p2,,pK. It represents gains. (a) Formulate a linear programming problem to calculate the

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Problem 1 A random variable Z has realizations z1,z2,,zK, attained with probabilities p1,p2,,pK. It represents gains. (a) Formulate a linear programming problem to calculate the following measure of risk: (Z)=31E[Z]+32AVaR[Z],(0,1] (b) Derive the dual representation of the risk measure ()

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