Please use this identifier to cite or link to this item: https://doi.org/10.1287/opre.1080.0683
DC FieldValue
dc.titleConstructing risk measures from uncertainty sets
dc.contributor.authorNatarajan, K.
dc.contributor.authorPachamanova, D.
dc.contributor.authorSim, M.
dc.date.accessioned2013-10-09T06:18:40Z
dc.date.available2013-10-09T06:18:40Z
dc.date.issued2009
dc.identifier.citationNatarajan, K., Pachamanova, D., Sim, M. (2009). Constructing risk measures from uncertainty sets. Operations Research 57 (5) : 1129-1141. ScholarBank@NUS Repository. https://doi.org/10.1287/opre.1080.0683
dc.identifier.issn0030364X
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/44207
dc.description.abstractWe illustrate the correspondence between uncertainty sets in robust optimization and some popular risk measures in finance and show how robust optimization can be used to generalize the concepts of these risk measures. We also show that by using properly defined uncertainty sets in robust optimization models, one can construct coherent risk measures and address the issue of the computational tractability of the resulting formulations. Our results have implications for efficient portfolio optimization under different measures of risk. © 2009 INFORMS.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1287/opre.1080.0683
dc.sourceScopus
dc.subjectFinance
dc.subjectPortfolio management
dc.typeArticle
dc.contributor.departmentMATHEMATICS
dc.contributor.departmentDECISION SCIENCES
dc.description.doi10.1287/opre.1080.0683
dc.description.sourcetitleOperations Research
dc.description.volume57
dc.description.issue5
dc.description.page1129-1141
dc.description.codenOPREA
dc.identifier.isiut000270866000008
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