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New approaches to risk management an...

Bychkov, Maksym.

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New approaches to risk management and scenario approximation in financial optimization.

Record Type:	Electronic resources : Monograph/item
Title/Author:	New approaches to risk management and scenario approximation in financial optimization./
Author:	Bychkov, Maksym.
Description:	206 p.
Notes:	Source: Dissertation Abstracts International, Volume: 66-11, Section: B, page: 6250.
Contained By:	Dissertation Abstracts International66-11B.
Subject:	Operations Research. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3197598
ISBN:	9780542417573

New approaches to risk management and scenario approximation in financial optimization.
Bychkov, Maksym.

New approaches to risk management and scenario approximation in financial optimization. - 206 p.

Source: Dissertation Abstracts International, Volume: 66-11, Section: B, page: 6250.

Thesis (Ph.D.)--The University of Tennessee, 2005.

The first part of the thesis addresses the problem of risk management in financial optimization modeling. Motivation for constructing a new concept of risk measurement is given through the history of development: utility theory, risk/return trade off, and coherent risk measures. The process of describing investor's preferences is presented through the proposed collection of Rational Level Sets (RLS). Based on RLS, a new concept termed Rational Risk Measures (RRM) for financial optimization models is defined. The advantages of RRM over coherent risk measures are discussed.

ISBN: 9780542417573Subjects--Topical Terms:

626629
Operations Research.

New approaches to risk management and scenario approximation in financial optimization.
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100 1 $a Bychkov, Maksym. $3 1909671
245 1 0 $a New approaches to risk management and scenario approximation in financial optimization.
300 $a 206 p.
500 $a Source: Dissertation Abstracts International, Volume: 66-11, Section: B, page: 6250.
500 $a Adviser: Chanaka Edirisinghe.
502 $a Thesis (Ph.D.)--The University of Tennessee, 2005.
520 $a The first part of the thesis addresses the problem of risk management in financial optimization modeling. Motivation for constructing a new concept of risk measurement is given through the history of development: utility theory, risk/return trade off, and coherent risk measures. The process of describing investor's preferences is presented through the proposed collection of Rational Level Sets (RLS). Based on RLS, a new concept termed Rational Risk Measures (RRM) for financial optimization models is defined. The advantages of RRM over coherent risk measures are discussed.
520 $a Approximation of a given set of scenarios using tail information is addressed in the second part of the thesis. Motivation for the scenario approximation problem, as a way of reducing computation time and preserving solution accuracy, is given through examples of financial optimization and asset allocation models. Using the basic ideas of Conditional Value at Risk (CVaR), this thesis develops a new methodology for scenario approximation for stochastic portfolio optimization. First, the concepts termed Scenarios-at-Risk (SaR) and Scenarios-at-Gain (SaG) are proposed as for the purpose of partitioning the underlying multivariate domain for a fixed investment portfolio and a fixed probability level of CVaR. Then, under a given set of CVaR values, a two-stage method is developed for determining a smaller, and discrete, set of scenarios over which CVaR risk control is satisfied for all portfolios of interest. Convergence of the method is shown and numerical results are presented to validate the proposed technique.
590 $a School code: 0226.
650 4 $a Operations Research. $3 626629
650 4 $a Business Administration, Banking. $3 1018458
650 4 $a Business Administration, Management. $3 626628
690 $a 0796
690 $a 0770
690 $a 0454
710 2 0 $a The University of Tennessee. $3 1022026
773 0 $t Dissertation Abstracts International $g 66-11B.
790 1 0 $a Edirisinghe, Chanaka, $e advisor
790 $a 0226
791 $a Ph.D.
792 $a 2005
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3197598