Polyhedral Coherent Risk Measures and Robust Optimization
- 10 Downloads
Properties of the apparatus of polyhedral coherent risk measures, its relationship with problems of robust and distributionally robust optimization, as well as its application under uncertainty are described. Problems of calculating robust structures of polyhedral coherent risk measures and their minimization, which are reduced to the corresponding linear programming problems, are considered.
Keywordspolyhedral coherent risk measure Conditional Value-at-Risk robust optimization distributionally robust optimization uncertainty set linear programming
Unable to display preview. Download preview PDF.
- 13.C. Acerbi, “Spectral measures of risk: A coherent representation of subjective risk aversion,” J. Banking & Finance, Vol. 26, No. 7, 1505–1518 (2002).Google Scholar