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Optimization of Risk Measures

Andrzej Ruszczynski () and Alexander Shapiro ()

Risk and Insurance from EconWPA

Abstract: We 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.

Keywords: risk measures; mean-risk models; duality; optimization; dynamic programming (search for similar items in EconPapers)
Date: 2004-07-24
Note: Type of Document - pdf; pages: 40
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