Optimization of Risk Measures
AbstractWe consider optimization problems involving coherent risk measures. We derive necessary and sufficient conditions of optimality for these problems, and we discuss the nature of the nonanticipativity constraints. Next, we introdice dynamic risk measures, and we formulate multistage optimization problems involving these measures. Conditions similar to dynamic programming equations are developed. The theoretical considerations are illustrated with many examples of mean-risk models applied in practice.
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Bibliographic InfoPaper provided by EconWPA in its series Risk and Insurance with number 0407002.
Length: 40 pages
Date of creation: 24 Jul 2004
Date of revision:
Note: Type of Document - pdf; pages: 40
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risk measures; mean-risk models; duality; optimization; dynamic programming;
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