EXPECTED UTILITY THEORY, OPTIMAL PORTFOLIOS, AND POLYHEDRAL COHERENT RISK MEASURES

被引：3
|
作者：
Kirilyuk, V. S. [1 ]
机构：
[1] Natl Acad Sci Ukraine, V M Glushkov Inst Cybernet, Kiev, Ukraine
来源：
CYBERNETICS AND SYSTEMS ANALYSIS | 2014年 / 50卷 / 06期
关键词：
expected utility theory; polyhedral coherent risk measure; conditional value-at-risk; spectral risk measure; portfolio optimization;
D O I：
10.1007/s10559-014-9678-5
中图分类号：
TP3 [计算技术、计算机技术];
学科分类号：
0812 ;
摘要：
Searching for optimal solutions in terms of expected utility theory is reduced to minimizing a risk measure. The technique of polyhedral coherent risk measures is used to reduce the search for optimal portfolio solutions in the obtained problems to the appropriate linear programming problems.
引用
收藏
页码：874 / 883
页数：10
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