Expected utility theory, optimal portfolios, and polyhedral coherent risk measures

DOI10.1007/s10559-014-9678-5zbMath1327.91060OpenAlexW2013961361MaRDI QIDQ891103

V. S. Kirilyuk

Publication date: 16 November 2015

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10559-014-9678-5

zbMATH Keywords

expected utility theoryportfolio optimizationconditional value-at-riskpolyhedral coherent risk measurespectral risk measure

Mathematics Subject Classification ID

Related Items (5)

Risk measures in stochastic programming and robust optimization problems ⋮ On the axiomatic definition of generalized maximin principle ⋮ Polyhedral coherent risk measures and robust optimization ⋮ Polyhedral coherent risk measures in the case of imprecise scenario estimates ⋮ Risk measures in the form of infimal convolution

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