The class of polyhedral coherent risk measures

DOI10.1023/B:CASA.0000047881.82280.e2zbMath1132.91495MaRDI QIDQ2574231

V. S. Kirilyuk

Publication date: 18 November 2005

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

zbMATH Keywords

polyhedral coherent risk measurecoherent risk measureoptimal portfolio problemconditional value-at-risk (CVaR)stochastic domination of the second order

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (8)

Risk measures in stochastic programming and robust optimization problems ⋮ Polyhedral coherent risk measures and robust optimization ⋮ Polyhedral coherent risk measure and distributionally robust portfolio optimization ⋮ Some scientific results of Yu. M. Ermoliev and his school in modern stochastic optimization theory ⋮ On measuring and profiling catastrophic risks ⋮ Polyhedral coherent risk measures and investment portfolio optimization ⋮ Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio ⋮ Polyhedral coherent risk measures in the case of imprecise scenario estimates

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