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Expected Utility Theory, Optimal Portfolios, and Polyhedral Coherent Risk Measures*

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Abstract

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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Authors and Affiliations

  1. V. M. Glushkov Institute of Cybernetics, National Academy of Sciences of Ukraine, Kyiv, Ukraine

    V. S. Kirilyuk

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  1. V. S. Kirilyuk
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Correspondence to V. S. Kirilyuk.

Additional information

The study was partially supported by the International project within the frameworks of the cooperation with the International Institute of Applied Systems Analysis (IIASA), order of the Presidium of the NAS of Ukraine No. 212 of 2/28/2012.

Translated from Kibernetika i Sistemnyi Analiz, No. 6, November–December, 2014, pp. 63–72.

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Kirilyuk, V.S. Expected Utility Theory, Optimal Portfolios, and Polyhedral Coherent Risk Measures* . Cybern Syst Anal 50, 874–883 (2014). https://doi.org/10.1007/s10559-014-9678-5

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  • DOI: https://doi.org/10.1007/s10559-014-9678-5

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