Publication Type

Journal Article

Publication Date

2-2017

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

Research Areas

Operations Management

Publication

Annals of Operations Research

ISSN

0254-5330

Publisher

Springer

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Included in

Business Commons

Share

COinS