A note on optimal portfolio corresponding to the CVaR ratio (Q4578150): Difference between revisions

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Revision as of 06:14, 16 July 2024

scientific article; zbMATH DE number 6914617
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A note on optimal portfolio corresponding to the CVaR ratio
scientific article; zbMATH DE number 6914617

    Statements

    A note on optimal portfolio corresponding to the CVaR ratio (English)
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    8 August 2018
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    reward-risk ratio optimization
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    CVaR ratio
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    optimal portfolio
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    linear programming
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    subderivative
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