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Coherent Distortion Risk Measures in Portfolio Selection

Coherent Distortion Risk Measures in Portfolio Selection The theme of this presentation relates to solving portfolio selection problems using linear and fractional programming. Two key ...
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Description: The theme of this presentation relates to solving portfolio selection problems using linear and fractional programming. Two key contributions: 1. Generalization of the CVaR linear optimization framework. 2. Equivalences among four formulations of Coherent Distortion Risk Mearures optimization problems. From Actuarial Research Clearing House, 2012, Vol. 1.
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- Authors: Ken Seng Tan, Mingbin Feng
- Date: Jan 2012
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods; Reinsurance

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Coherent Distortion Risk Measures in Portfolio Selection