Polyhedral coherent risk measures and investment portfolio optimization

    loading  Checking for direct PDF access through Ovid

Abstract

The paper studies a class of polyhedral coherent risk measures for risk-return portfolio optimization problems under partial uncertainty, with unknown scenario probabilities estimated by some polyhedron. Such portfolio problems are reduced to linear programming problems. As an example, continuous problems of optimal investment allocation under risk of catastrophic floods are described.

Related Topics

    loading  Loading Related Articles