Enhanced index tracking with CVaR-based ratio measures (Q827152): Difference between revisions

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Latest revision as of 07:32, 24 July 2024

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Enhanced index tracking with CVaR-based ratio measures
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    Enhanced index tracking with CVaR-based ratio measures (English)
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    6 January 2021
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    enhanced index tracking
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    quantile risk measures
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    conditional value-at-risk
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    mean-risk models
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    risk-reward ratios
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    risk-averse optimization
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    stochastic dominance
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    linear programming
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