EXPECTED UTILITY THEORY, OPTIMAL PORTFOLIOS, AND POLYHEDRAL COHERENT RISK MEASURES

被引：3
作者：
Kirilyuk, V. S. [1 ]
机构：
[1] Natl Acad Sci Ukraine, V M Glushkov Inst Cybernet, Kiev, Ukraine
来源：
CYBERNETICS AND SYSTEMS ANALYSIS | 2014年 / 50卷 / 06期
关键词：
expected utility theory; polyhedral coherent risk measure; conditional value-at-risk; spectral risk measure; portfolio optimization;
D O I：
10.1007/s10559-014-9678-5
中图分类号：
TP3 [计算技术、计算机技术];
学科分类号：
0812 ;
摘要：
Searching for optimal solutions in terms of expected utility theory is reduced to minimizing a risk measure. The technique of polyhedral coherent risk measures is used to reduce the search for optimal portfolio solutions in the obtained problems to the appropriate linear programming problems.
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页码：874 / 883
页数：10
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