Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection
@article{Chen2011TightBF, title={Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection}, author={Li Chen and Simai He and Shuzhong Zhang}, journal={Oper. Res.}, year={2011}, volume={59}, pages={847-865} }
In this paper we develop tight bounds on the expected values of several risk measures that are of interest to us. This work is motivated by the robust optimization models arising from portfolio selection problems. Indeed, the whole paper is centered around robust portfolio models and solutions. The basic setting is to find a portfolio that maximizes (respectively, minimizes) the expected utility (respectively, disutility) values in the midst of infinitely many possible ambiguous distributions…
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