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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: | 27 Aug 2021 17:20 |
| URI: | https://pure.iiasa.ac.at/8427 |
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