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Bazovkin, Pavel
Year of Publication: 
Series/Report no.: 
Discussion Papers in Econometrics and Statistics 01/14
We consider a vector-valued multivariate risk measure that depends on the user's profile given by the user's utility. It is constructed on the basis of weighted-mean trimmed regions and represents the solution of an optimization problem. The key feature of this measure is convexity. We apply the measure to the portfolio selection problem, employing different measures of performance as objective functions in a common geometrical framework.
Multivariate risk measure
robust portfolio optimization
weighted-mean trimmed regions
data central regions
convex risk measure
distortion risk measure
Document Type: 
Working Paper

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