Polyhedral Coherent Risk Measure and Distributionally Robust Portfolio Optimization
Cybernetics and Systems Analysis, ISSN: 1573-8337, Vol: 59, Issue: 1, Page: 90-100
2023
- 3Captures
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Example: if you select the 1-year option for an article published in 2019 and a metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019. If you select the 3-year option for the same article published in 2019 and the metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019, 2018 and 2017.
Citation Benchmarking is provided by Scopus and SciVal and is different from the metrics context provided by PlumX Metrics.
Metrics Details
- Captures3
- Readers3
Article Description
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.
Bibliographic Details
Springer Science and Business Media LLC
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