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We adopt a component\u00a0-wise worst-case approach and provide necessary and sufficient conditions for optimality in terms of suitable first-order conditions. We then compare the proposed method with the minimization of vector\u00a0-valued risk measures, as developed progressively in the literature over the past decades. We show that minimizing a certain class of multivariate risk measures is, in a precise sense, equivalent to solving a multi-objective expected value optimization problem with respect to some appropriate admissible distributions. We also analyze specific optimization problems involving risk functionals.<\/jats:p>","DOI":"10.1007\/s10957-026-02978-4","type":"journal-article","created":{"date-parts":[[2026,4,3]],"date-time":"2026-04-03T07:06:33Z","timestamp":1775199993000},"update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Multi-Objective Optimization and its Connection to Multivariate Risk Measures"],"prefix":"10.1007","volume":"209","author":[{"given":"Elisa","family":"Mastrogiacomo","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Matteo","family":"Rocca","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Marco","family":"Tarsia","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"297","published-online":{"date-parts":[[2026,4,3]]},"reference":[{"issue":"4","key":"2978_CR1","doi-asserted-by":"publisher","first-page":"SC68","DOI":"10.1137\/24M1679239","volume":"15","author":"\u00c7 Ararat","year":"2024","unstructured":"Ararat, \u00c7., Feinstein, Z.: On the separability of vector-valued risk measures. 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