 Cybernetics and Systems Analysis /  Issue (2023, 59 (1))
Kirilyuk V.S.
Polyhedral coherent risk measure and distributionally robust portfolio optimization Polyhedral coherent risk measures and their worst-case constructions with respect to the ambiguity set are considered. For the case of the discrete distribution and polyhedral ambiguity set, calculating such risk measures reduces to linear programming problems. The distributionally robust portfolio optimization problems based on the reward-risk ratio using worst-case constructions with respect to the polyhedral ambiguity set for these risk measures and average return are analyzed. They are reduced to the appropriate linear programming problems. © 2023, Springer Science+Business Media, LLC, part of Springer Nature. Keywords: ambiguity set, coherent risk measure, Conditional Value-at-Risk (CVaR), deviation measure, distributionally robust optimization, optimized certainty equivalent, polyhedral coherent risk measure, portfolio optimization, Financial data processing, Risk assessment, Value engineering, Ambiguity set, Certainty equivalent, Coherent risk measures, Conditional value-at-risk, Deviation measures, Distributionally robust optimization, Optimized certainty equivalent, Polyhedral coherent risk measure, Portfolio optimization, Robust optimization, Linear programming
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Cite:
Kirilyuk V.S.
(2023). Polyhedral coherent risk measure and distributionally robust portfolio optimization. Cybernetics and Systems Analysis, 59 (1), 104–115. doi: https://doi.org/10.1007/s10559-023-00545-7 http://jnas.nbuv.gov.ua/article/UJRN-0001380508 [In Ukrainian]. |
