Polyhedral coherent risk measures in the case of imprecise scenario estimates (Q1795509)
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scientific article; zbMATH DE number 6955820
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| English | Polyhedral coherent risk measures in the case of imprecise scenario estimates |
scientific article; zbMATH DE number 6955820 |
Statements
Polyhedral coherent risk measures in the case of imprecise scenario estimates (English)
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16 October 2018
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polyhedral coherent risk measure
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conditional value-at-risk
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spectral coherent risk measure
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imprecise estimate
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linear programming
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portfolio optimization
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reward-to-risk ratio
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0.8804240226745605
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0.8729599118232727
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0.8712789416313171
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0.8647124767303467
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0.8636993169784546
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