Inverse portfolio problem with coherent risk measures
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- 作者：Bogdan Grechuk ; a ; bg83@leicester.ac.uk" class="auth_mail" title="E-mail the corresponding author ; Michael Zabarankin1 ; b ; mzabaran@stevens.edu" class="auth_mail" title="E-mail the corresponding author
- 关键词：Decision making under risk ; Coherent risk measure ; Portfolio optimization ; Inverse portfolio problem
- 刊名：European Journal of Operational Research
- 出版年：2016
- 出版时间：1 March 2016
- 年：2016
- 卷：249
- 期：2
- 页码：740-750
- 全文大小：573 K
文摘
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An inverse portfolio problem finds a coherent risk measure for a given optimal portfolio.
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Necessary and sufficient conditions for the existence of such a risk measure are obtained.
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A risk envelope characterization of an optimal solution is presented.
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If the exact solution do not exists, an approximate one in the form of a mixed CVaRs is found.