When the choice of a risk measure is uncertain: a robust optimization approach
Jonathan Yumeng Li
11:50:00 - 12:35:00
103 , Mathematics Research Center Building (ori. New Math. Bldg.)
Since the financial crisis of 2007-2009, there has been a renewed interest towards quantifying more appropriately the risks involved in financial positions. While many risk measures have been proposed in the past, it is still a great challenge today to select a risk measure that faithfully represents a decision maker's true risk attitude. In this work, we present new robust forms of measures that account precisely for the risk preference of a decision maker when comparing and optimizing financial positions. Such measures can be evaluated and optimized through solving linear programs. Examples of portfolio optimization are provided.