Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio

DOI10.1007/s10559-014-9663-zzbMath1311.91173OpenAlexW1973885809MaRDI QIDQ2263343

V. S. Kirilyuk

Publication date: 18 March 2015

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

Full work available at URL: https://doi.org/10.1007/s10559-014-9663-z

zbMATH Keywords

portfolio optimizationpolyhedral coherent risk measurespectral risk measureefficiency measurereward-risk ratioconditional VaR

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (8)

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 ⋮ Polyhedral coherent risk measure and distributionally robust portfolio optimization ⋮ Optimization models of anti-terrorist protection ⋮ Investigation of multistage stochastic portfolio optimization problems ⋮ Polyhedral coherent risk measures in the case of imprecise scenario estimates ⋮ Risk measures in the form of infimal convolution

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