Author(s)

A. Farina, A. Gazzarri, M. Lupi, A. Pratelli

Abstract

The amount of any individual risk acceptance criterion is directly related to the correspondent amount of expected revenue. At the same time, a decision maker often searches for optimal strategies operating under contexts affected both by random events and limited information. This paper is focused on the so-called portfolio risk problem, concerning the risk management of financial resources. The problem leads to an interesting framework that should be applied to other fields, such as risk evaluation and system analysis of transport networks in emergency conditions, as well as risk management forms to improve engineer’s decisions during large projects development.

Keywords

portfolio risk problem, risk management, emergency conditions