Polyhedral coherent risk measures and investment portfolio optimization

DOI10.1007/s10559-008-0025-6zbMath1152.91520OpenAlexW1977928482MaRDI QIDQ946748

V. S. Kirilyuk

Publication date: 24 September 2008

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

Full work available at URL: https://doi.org/10.1007/s10559-008-0025-6

zbMATH Keywords

conditional value-at-riskpolyhedral coherent risk measurecatastrophic floodlinear programming techniqueoptimal portfolio problem

Mathematics Subject Classification ID

Linear programming (90C05) Portfolio theory (91G10)

Related Items (6)

Risk measures in stochastic programming and robust optimization problems ⋮ Polyhedral coherent risk measures and robust optimization ⋮ Expected utility theory, optimal portfolios, and polyhedral coherent risk measures ⋮ Stability advances in robust portfolio optimization under parallelepiped uncertainty ⋮ Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio ⋮ Polyhedral coherent risk measures in the case of imprecise scenario estimates

Uses Software

• MIKE
• HEC-FDA

Cites Work

• Unnamed Item
• Problems on insurance of catastrophic risks
• A system approach to management of catastrophic risks.
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• On measuring and profiling catastrophic risks
• The class of polyhedral coherent risk measures
• Coherent Measures of Risk
• A Minimax Portfolio Selection Rule with Linear Programming Solution
• Stochastic Optimization Problems with Incomplete Information on Distribution Functions
• Methods of finding optimal submeasures (characterization of solutions)
• Stochastic optimization of insurance portfolios for managing exposure to catastrophic risks

This page was built for publication: Polyhedral coherent risk measures and investment portfolio optimization