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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… Click to show full abstract
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.
Keywords:
risk measures;
polyhedral coherent;
coherent risk;
robust optimization
Journal Title: Cybernetics and Systems Analysis
Year Published: 2019
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Journal Title: Cybernetics and Systems Analysis
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!