Stochastic dominance and expected utility: survey and analysis
Management Science
A Minimax Portfolio Selection Rule with Linear Programming Solution
Management Science
On measuring and profiling catastrophic risks
Cybernetics and Systems Analysis
Polyhedral coherent risk measures and investment portfolio optimization
Cybernetics and Systems Analysis
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The class of polyhedral coherent risk measures that are used in making decisions under uncertainty is investigated. Operations are introduced on the measures of this class, and properties of these measures are studied. The problems of portfolio optimization based on the profitability-risk ratio for such risk measures are proved to be reducible to the corresponding linear programming problems.