Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio (Q2263343): Difference between revisions

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Latest revision as of 20:00, 9 July 2024

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Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio
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    Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio (English)
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    18 March 2015
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    polyhedral coherent risk measure
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    conditional VaR
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    spectral risk measure
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    portfolio optimization
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    reward-risk ratio
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    efficiency measure
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