Polyhedral coherent risk measures and investment portfolio optimization

被引：6
|
作者：
Kirilyuk V.S. [1 ]
机构：
[1] V. M. Glushkov Institute of Cybernetics, National Academy of Sciences of Ukraine, Kyiv
来源：
Cybernetics and Systems Analysis | 2008年 / 44卷 / 2期
关键词：
Catastrophic flood; Conditional value-at-risk; Linear programming technique; Optimal portfolio problem; Polyhedral coherent risk measure;
D O I：
10.1007/s10559-008-0025-6
中图分类号：
学科分类号：
摘要：
The paper studies a class of polyhedral coherent risk measures for risk-return portfolio optimization problems under partial uncertainty, with unknown scenario probabilities estimated by some polyhedron. Such portfolio problems are reduced to linear programming problems. As an example, continuous problems of optimal investment allocation under risk of catastrophic floods are described. © Springer Science+Business Media, Inc. 2008.
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页码：250 / 260
页数：10
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