Polyhedral Coherent Risk Measures, Portfolio Optimization and Investment Allocation Problems

Kirilyuk V (2007). Polyhedral Coherent Risk Measures, Portfolio Optimization and Investment Allocation Problems. IIASA Interim Report. IIASA, Laxenburg, Austria: IR-07-030

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Abstract

The class of polyhedral coherent risk measures that could be used in decision- making under uncertainty is studied. Properties of these measures and invariant operations are considered. Portfolio optimization problems on the return -risk ratio using these risk measures are analyzed.

The developed mathematical technique allows to solve large-scale portfolio problems by standard linear programming methods as an example of applications, investment allocation problems under risk of catastrophic floods are considered.

Item Type: Monograph (IIASA Interim Report)
Research Programs: Integrated Modeling Environment (IME)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 08:40
Last Modified: 03 Nov 2016 07:53
URI: http://pure.iiasa.ac.at/8427

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