RISK MEASURES IN MULTISTAGE STOCHASTIC PROGRAMMING PROBLEMS |
| 2 | |
| 2013 |
| scientific article | 519.7 | ||
| 177-181 | risk measure, multistage problem, variance, portfolio. |
| Portfolio optimization is the problem of allocating capital over different assets in order to maximize investment returns and minimize risks. Assessing risk profile is quite a challenge. The paper considers the multistage portfolio optimization problem. An analysis of current risk profiles is presented and risk measures with the required properties are constructed to be used in stochastic programming. |
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