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Latest revision as of 02:25, 15 July 2024

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Efficient optimization of the reward-risk ratio with polyhedral risk measures
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    Efficient optimization of the reward-risk ratio with polyhedral risk measures (English)
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    9 February 2018
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    portfolio optimization
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    reward-risk ratio
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    tangency portfolio
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    polyhedral risk measures
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    fractional programming
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    linear programming
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    computation
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