The class of polyhedral coherent risk measures

DOI10.1023/B:CASA.0000047881.82280.E2MaRDI QIDQ2574231zbMATH OpenFDO

Authors V. S. Kirilyuk

Publication date 18 November 2005

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

Full work available at URL https://doi.org/10.1023/B:CASA.0000047881.82280.E2

zbMATH Keywords

coherent risk measureconditional value-at-risk (CVaR)optimal portfolio problempolyhedral coherent risk measurestochastic domination of the second order

Mathematics Subject Classification ID

Stochastic programming (90C15)

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(15)

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• On measuring and profiling catastrophic risks
• Risk measures in stochastic programming and robust optimization problems
• scientific article; zbMATH DE number 5926334 (Why is no real title available?)
• Coherent risk measures and vector optimization
• Some scientific results of Yu. M. Ermoliev and his school in modern stochastic optimization theory
• Optimization of risk measures
• Polyhedral Risk Measures in Stochastic Programming
• Higher moment coherent risk measures
• A new class of coherent risk measures based on p‐norms and their applications
• Polyhedral coherent risk measure and distributionally robust portfolio optimization
• Expected utility theory, optimal portfolios, and polyhedral coherent risk measures
• Polyhedral coherent risk measures and investment portfolio optimization

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