FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W4311448423> ?p ?o ?g. }

• W4311448423 endingPage "55" @default.
• W4311448423 startingPage "46" @default.
• W4311448423 abstract "Introduction. The problem of decision-making under risk and uncertainty lies in the use of adequate criteria for assessing their optimality, in particular, in an adequate risk assessment. Various functions are known that are used as risk measures. For technical systems, the probability of an accident (failure) is used, in insurance – the probability of bankruptcy, in finance – Value-at-Risk, etc. At present, the concept of a coherent risk measure (CRM), in which its basic properties are postulated, is widely recognized. The paper considers CRMs and their subset, the polyhedral CRMs (PCMRs), which have attractive properties and contain a number of important risk measures. Such risk measures are well defined on complete information about the stochastic distributions of random variables. However, applications usually contain only partial such information from observational data. This only allows one to describe the stochastic distribution by an ambiguity set (AS). For such a case, robust PCMR constructions intended for risk assessment at AS are considered in the paper. The computation of such PCRM constructions in the form of linear programming problems (LP) is described. To demonstrate the use of the PCRM apparatus, the problems of portfolio optimization on reward-risk ratio are considered, where reward and risk are estimated by the average return and some PCRM respectively for known stochastic distributions, and by their robust constructions under uncertainty with AS. It is described how in both these cases the portfolio optimization problems are reduced to appropriate LP problems. The purpose of the paper is to describe the PCRM apparatus for assessing risks under uncertainty with AS and demonstrating the effectiveness of its application to linear problems on the example of portfolio optimization problems. Results. The use of the PCRM apparatus for the case of uncertainty with AS in the form of appropriate robust constructions and their application to portfolio optimization problems on reward-risk ratio is described. The conditions under which these portfolio problems are reduced to the corresponding LP tasks are formulated. Conclusions. The PCRM apparatus can be effectively applied to linear optimization problems under uncertainty with AS, which is demonstrated by the example of portfolio optimization problems. The reduction of portfolio problems to LP problems allows one to effectively solve them using standard methods. Keywords: coherent risk measure, polyhedral coherent risk measure, CVaR, ambiguity set, portfolio optimization, linear programming problem." @default.
• W4311448423 created "2022-12-26" @default.
• W4311448423 creator A5080712270 @default.
• W4311448423 date "2022-11-29" @default.
• W4311448423 modified "2023-10-18" @default.
• W4311448423 title "On Polyhedral Coherent Risk Measures and Portfolio Optimization Problems" @default.
• W4311448423 cites W1976406849 @default.
• W4311448423 cites W2019291268 @default.
• W4311448423 cites W2766966154 @default.
• W4311448423 cites W2990922271 @default.
• W4311448423 cites W3124407081 @default.
• W4311448423 cites W3139103610 @default.
• W4311448423 cites W1973885809 @default.
• W4311448423 cites W1981728548 @default.
• W4311448423 doi "https://doi.org/10.34229/2707-451x.22.3.5" @default.
• W4311448423 hasPublicationYear "2022" @default.
• W4311448423 type Work @default.
• W4311448423 citedByCount "0" @default.
• W4311448423 crossrefType "journal-article" @default.
• W4311448423 hasAuthorship W4311448423A5080712270 @default.
• W4311448423 hasBestOaLocation W43114484231 @default.
• W4311448423 hasConcept C10138342 @default.
• W4311448423 hasConcept C105795698 @default.
• W4311448423 hasConcept C126255220 @default.
• W4311448423 hasConcept C137631369 @default.
• W4311448423 hasConcept C148845407 @default.
• W4311448423 hasConcept C149441793 @default.
• W4311448423 hasConcept C149782125 @default.
• W4311448423 hasConcept C162118730 @default.
• W4311448423 hasConcept C162324750 @default.
• W4311448423 hasConcept C167548438 @default.
• W4311448423 hasConcept C177264268 @default.
• W4311448423 hasConcept C199360897 @default.
• W4311448423 hasConcept C202655437 @default.
• W4311448423 hasConcept C2780522230 @default.
• W4311448423 hasConcept C2780821815 @default.
• W4311448423 hasConcept C2781472820 @default.
• W4311448423 hasConcept C32896092 @default.
• W4311448423 hasConcept C33923547 @default.
• W4311448423 hasConcept C41008148 @default.
• W4311448423 hasConcept C5496284 @default.
• W4311448423 hasConcept C69257216 @default.
• W4311448423 hasConceptScore W4311448423C10138342 @default.
• W4311448423 hasConceptScore W4311448423C105795698 @default.
• W4311448423 hasConceptScore W4311448423C126255220 @default.
• W4311448423 hasConceptScore W4311448423C137631369 @default.
• W4311448423 hasConceptScore W4311448423C148845407 @default.
• W4311448423 hasConceptScore W4311448423C149441793 @default.
• W4311448423 hasConceptScore W4311448423C149782125 @default.
• W4311448423 hasConceptScore W4311448423C162118730 @default.
• W4311448423 hasConceptScore W4311448423C162324750 @default.
• W4311448423 hasConceptScore W4311448423C167548438 @default.
• W4311448423 hasConceptScore W4311448423C177264268 @default.
• W4311448423 hasConceptScore W4311448423C199360897 @default.
• W4311448423 hasConceptScore W4311448423C202655437 @default.
• W4311448423 hasConceptScore W4311448423C2780522230 @default.
• W4311448423 hasConceptScore W4311448423C2780821815 @default.
• W4311448423 hasConceptScore W4311448423C2781472820 @default.
• W4311448423 hasConceptScore W4311448423C32896092 @default.
• W4311448423 hasConceptScore W4311448423C33923547 @default.
• W4311448423 hasConceptScore W4311448423C41008148 @default.
• W4311448423 hasConceptScore W4311448423C5496284 @default.
• W4311448423 hasConceptScore W4311448423C69257216 @default.
• W4311448423 hasIssue "3" @default.
• W4311448423 hasLocation W43114484231 @default.
• W4311448423 hasLocation W43114484232 @default.
• W4311448423 hasOpenAccess W4311448423 @default.
• W4311448423 hasPrimaryLocation W43114484231 @default.
• W4311448423 hasRelatedWork W106368441 @default.
• W4311448423 hasRelatedWork W1985815497 @default.
• W4311448423 hasRelatedWork W2010778123 @default.
• W4311448423 hasRelatedWork W2088609657 @default.
• W4311448423 hasRelatedWork W2291382242 @default.
• W4311448423 hasRelatedWork W2380305602 @default.
• W4311448423 hasRelatedWork W2384833971 @default.
• W4311448423 hasRelatedWork W2608761930 @default.
• W4311448423 hasRelatedWork W2741147126 @default.
• W4311448423 hasRelatedWork W3125265748 @default.
• W4311448423 isParatext "false" @default.
• W4311448423 isRetracted "false" @default.
• W4311448423 workType "article" @default.