risk measures – Page 3 – Optimization Online

Satisficing measures for analysis of risky positions

Published: 2007/06/12

Finance and Economics aspiration levels, coherent risk measures, convex risk measures, portfolio optimization, risk measures, satisficing, targets

In this work we introduce a class of measures for evaluating the quality of financial positions based on their ability to achieve desired financial goals. In the spirit of Simon (1959), we call these measures satisficing measures and show that they are dual to classes of risk measures. This approach has the advantage that aspiration … Read more

Optimization of Convex Risk Functions

Published: 2004/02/02, Updated: 2007/04/09

Finance and Economics, Stochastic Programming convex analysis, duality, mean-variance models, risk measures, stochastic optimization

We consider optimization problems involving convex risk functions. By employing techniques of convex analysis and optimization theory in vector spaces of measurable functions we develop new representation theorems for risk models, and optimality and duality theory for problems involving risk functions. CitationPreprintArticleDownload View PDF