Publication Type
Journal Article
Version
acceptedVersion
Publication Date
3-2018
Abstract
A classical result in risk measure theory states that every coherent risk measure has a dual representation as the supremum of certain expected value over a risk envelope. We study this topic in more detail. The related issues include: (1) Set operations of risk envelopes and how they change the risk measures, (2) The structure of risk envelopes of popular risk measures, (3) Aversity of risk measures and its impact to risk envelopes, and (4) A connection between risk measures in stochastic optimization and uncertainty sets in robust optimization.
Keywords
Coherent risk measures, optimization, risk envelopes
Discipline
Business | Operations and Supply Chain Management
Research Areas
Operations Management
Publication
Annals of Operations Research
Volume
262
Issue
1
First Page
29
Last Page
46
ISSN
0254-5330
Identifier
10.1007/s10479-017-2441-3
Publisher
Springer
Citation
ANG, Marcus; SUN, Jie; and YAO, Qiang.
Constrained dual representation of coherent risk measures. (2018). Annals of Operations Research. 262, (1), 29-46.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/4490
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1007/s10479-017-2441-3