Polyhedral Coherent Risk Measures, Portfolio Optimization and Investment Allocation Problems

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/13151 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/13151 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/13151 archive 351 disk0/00/00/84/27 2016-01-15 08:40:29 2021-08-27 17:20:10 2016-01-15 08:40:29 monograph show 2 Kirilyuk V. AL0847 Polyhedral Coherent Risk Measures, Portfolio Optimization and Investment Allocation Problems pub iis_ecn iis_mod prog_ime 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. 2007 published IR-07-030 IR-07-030 2034 public interim_report IIASA, Laxenburg, Austria 27 FALSE info:eu-repo/semantics/book