Abstract. It is shown how searching for optimal solutions in terms of the expected utility theory is reduced to minimizing some risk measures. Using the technique of polyhedral coherent risk measures, finding the optimal portfolio solutions in the obtained problems is reduced to solving the appropriate linear programming problems.
Keywords: expected utility theory, polyhedral coherent risk measure, conditional value-at-risk, spectral risk measure, portfolio optimization.
Кирилюк Владимир Семенович,
доктор физ.-мат. наук, ведущий научный сотрудник Института кибернетики им. В.М. Глушкова НАН Украины, Киев,
e-mail: vlad00@ukr.net.