Robust and reliable portfolio optimization formulation of a chance constrained problem (Q2360112): Difference between revisions

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Latest revision as of 01:22, 14 July 2024

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Robust and reliable portfolio optimization formulation of a chance constrained problem
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    Robust and reliable portfolio optimization formulation of a chance constrained problem (English)
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    26 June 2017
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    risk management
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    investment analysis
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    robust optimization
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    conditional value at risk (CVaR)
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    extreme value distribution
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