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Coherent Distortion Risk Measures in Portfolio Selection

Coherent Distortion Risk Measures in Portfolio Selection The theme of this paper relates to solving portfolio selection problems using linear programming. The authors extend the linear ...
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Description: The theme of this paper relates to solving portfolio selection problems using linear programming. The authors extend the linear optimization framework for Conditional Value-at-Risk-based portfolio selection problems to optimization over a more general class of risk measure known as the class of Coherent Distortion Risk Measure. From Actuarial Research Clearing House, 2012 Vol. 1.
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- 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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Coherent Distortion Risk Measures in Portfolio Selection