Cybernetics And Systems Analysis logo
Editorial Board Announcements Abstracts Authors Contents
Cybernetics And Systems Analysis
International Theoretical Science Journal
UDC 519.21
V.S. Kirilyuk

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

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.



FULL TEXT

Кирилюк Владимир Семенович,
доктор физ.-мат. наук, ведущий научный сотрудник Института кибернетики им. В.М. Глушкова НАН Украины, Киев,
e-mail: vlad00@ukr.net.

© 2017 Kibernetika.org. All rights reserved.