UDC 519.21
1 V.M. Glushkov Institute of Cybernetics, National Academy of Sciences of Ukraine, Kyiv, Ukraine
 vlad00@ukr.net
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POLYHEDRAL COHERENT RISK MEASURE AND DISTRIBUTIONALLY
ROBUST PORTFOLIO OPTIMIZATION
Abstract. Polyhedral coherent risk measures and their worst-case constructions on an ambiguity set are considered.
For the case of a discrete distribution and a polyhedral ambiguity set calculating such risk measures is reduced
to linear programming problems. The distributionally robust portfolio optimization problems based
on the reward-risk ratio using worst-case constructions on the polyhedral ambiguity set for these risk measures
and average return are analyzed. They are reduced to the appropriate linear programming problems.
Keywords: coherent risk measure, polyhedral coherent risk measure, conditional value-at-risk, ambiguity set, distributionally robust optimization, optimized certainty equivalent, portfolio optimization, deviation measure.
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