It is proved that every closed
convex non-R.N.P. set in a Banach space contains a non-dentable subset
with a martingale coordinatization. Thus we answer affirmatively a question
posed by H. Rosenthal and A. Wessel. The proof depends on the concept
of the Convex Finite-Dimensional Schauder Decomposition (C.F.D.S.D.)
introduced and investigated in the present paper. Certain partial positive
results are also given related to the following fundamental problem: Every
closed convex set either is R.N.P. or it contains a closed subset with a
Pal-representation.