Abstract
The class of polyhedral coherent risk measures that are used in making decisions under uncertainty is investigated. Operations are introduced on the measures of this class, and properties of these measures are studied. The problems of portfolio optimization based on the profitability-risk ratio for such risk measures are proved to be reducible to the corresponding linear programming problems.
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Kirilyuk, V.S. The Class of Polyhedral Coherent Risk Measures. Cybernetics and Systems Analysis 40, 599–609 (2004). https://doi.org/10.1023/B:CASA.0000047881.82280.e2
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DOI: https://doi.org/10.1023/B:CASA.0000047881.82280.e2