Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances (Q1750470)
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scientific article; zbMATH DE number 6870773
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| English | Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances |
scientific article; zbMATH DE number 6870773 |
Statements
Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances (English)
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22 May 2018
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risk management
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data ambiguity
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coherent risk measures
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portfolio optimization
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eurozone crisis
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0.8335809707641602
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0.8183484673500061
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0.8086391687393188
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0.8040826320648193
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0.790720522403717
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