coherent risk measures

Coherent Risk Measures in Inventory Problems

  • Shabbir Ahmed
  • Ulas Cakmak
  • Alexander Shapiro
    • Categories Production and Logistics, Stochastic Programming Tags , , , ,

    We analyze an extension of the classical multi-period, single-item, linear cost inventory problem where the objective function is a coherent risk measure. Properties of coherent risk measures allow us to offer a unifying treatment of risk averse and min-max type formulations. For the single period newsvendor problem, we show that the structure of the optimal … Read more

    Constructing Risk Measures from Uncertainty Sets

  • Karthik Natarajan
  • Dessislava Pachamanova
  • Melvyn Sim
    • Categories Finance and Economics, Robust Optimization Tags ,

    We propose a unified theory that links uncertainty sets in robust optimization to risk measures in portfolio optimization. We illustrate the correspondence between uncertainty sets and some popular risk measures in finance, and show how robust optimization can be used to generalize the concepts of these measures. We also show that by using properly defined … Read more