f-Betas and portfolio optimization with f-divergence induced risk measures (Q6063323): Difference between revisions

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Latest revision as of 11:48, 3 August 2024

scientific article; zbMATH DE number 7762003
Language Label Description Also known as
English
f-Betas and portfolio optimization with f-divergence induced risk measures
scientific article; zbMATH DE number 7762003

    Statements

    f-Betas and portfolio optimization with f-divergence induced risk measures (English)
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    7 November 2023
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    portfolio optimization
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    risk management
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    CAPM
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    risk measures
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    drawdown
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    beta
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    distributionally robust optimization
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    statistical divergences
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