Polyhedral coherent risk measures in the case of imprecise scenario estimates

DOI10.1007/s10559-018-0043-yzbMath1401.93195OpenAlexW2804728312WikidataQ129806962 ScholiaQ129806962MaRDI QIDQ1795509

V. S. Kirilyuk

Publication date: 16 October 2018

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

Full work available at URL: https://doi.org/10.1007/s10559-018-0043-y

zbMATH Keywords

linear programmingportfolio optimizationconditional value-at-riskpolyhedral coherent risk measurespectral coherent risk measureimprecise estimatereward-to-risk ratio

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic programming (90C15) Estimation and detection in stochastic control theory (93E10) Portfolio theory (91G10)

Related Items (1)

Polyhedral coherent risk measures and robust optimization

Cites Work

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• Risk measures in stochastic programming and robust optimization problems
• Expected utility theory, optimal portfolios, and polyhedral coherent risk measures
• Polyhedral coherent risk measures and investment portfolio optimization
• Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio
• The class of polyhedral coherent risk measures
• Coherent Measures of Risk

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