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Coherent Distortion Risk Measures in Portfolio Selection
with the decision vector x, to be chosen from a set S ⊆ Rn, and the random vector y ∈ Rm. The vector x represents ... represents what we may generally call a portfolio, with S capturing the set of all feasible portfolios subject ...- Authors: Ken Seng Tan, Mingbin Feng
- Date: Jan 2012
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Portfolio management - Finance & Investments; Modeling & Statistical Methods; Public Policy
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An Empirical-Based Approach for Optimal Reinsurance
An Empirical-Based ... 0 1000 2000 3000 4000 5000 6000 0 1000 2000 3000 4000 5000 6000 1) pi = 80 0 1000 2000 3000 4000 ... 1000 2000 3000 4000 5000 6000 2) pi = 200 0 1000 2000 3000 4000 5000 6000 0 1000 2000 3000 ...- Authors: Ken Seng Tan, Chengguo Weng
- Date: Aug 2009
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Modeling & Statistical Methods; Reinsurance
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Coherent Distortion Risk Measures in Portfolio Selection
Optimization Return maximization subject to CVaR constraint(s) maximize c′x subject to ζi + 11−α m∑ j=1 pjzij ... ar ke tP or tfo lio Va lu e 500 1000 1500 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 ...- Authors: Ken Seng Tan, Mingbin Feng
- Date: Jan 2012
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods; Reinsurance