基于f-散度的一致风险度量  

Coherent risk measure based on f-divergence

作　　者：任凤英[1,2] 李兴斯[1] 

机构地区：[1]大连理工大学运筹学与控制论研究所,辽宁大连116024 [2]北京师范大学珠海分校应用数学学院,广东珠海519087

出　　处：《大连理工大学学报》2013年第5期772-776,共5页Journal of Dalian University of Technology

摘　　要：进一步研究了带有熵约束的一致风险度量,鉴于它的许多良好性质,提出了带有f-散度约束的一致风险度量,获得了一大组可以灵活选取的风险度量,并且给出了一致风险度量理论中可接受集的控制方法.另外,讨论了将这类风险度量直接用于优化问题的优点以及它们的稳健化处理方法,得到了一致风险度量的新的表现形式,此形式是CVaR的上界,在应用中是更易处理的.The investigation for the coherent risk measures with entropy constraints is conducted, and because it has many good properties, the coherent risk measure with f-divergence constraints is presented. The study obtains a group of flexible risk measures and the methods to control the acceptable set of the coherent risk measure theory. In addition, its advantages used directly in optimization problems and the robustness of method are discussed. The new expression of coherent risk measure is obtained. It is the upper bound of CVaR and more tractable in applications.

关 键 词：一致风险度量 凸风险度量 一致熵风险度量 一致f-散度风险度量 

分 类 号：O221.5[理学—运筹学与控制论]