Polyhedral Coherent Risk Measures, Portfolio Optimization and Investment Allocation Problems
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.
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.