Polyhedral coherent risk measures and investment portfolio optimization

Authors:
V. S. Kirilyuk
Affiliations:
V. M. Glushkov Institute of Cybernetics, National Academy of Sciences of Ukraine, Kyiv, Ukraine
Venue:
Cybernetics and Systems Analysis
Year:
2008

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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.