Tail nonlinearly transformed risk measure and its application (Q1929949)
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scientific article; zbMATH DE number 6123948
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Tail nonlinearly transformed risk measure and its application |
scientific article; zbMATH DE number 6123948 |
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Tail nonlinearly transformed risk measure and its application (English)
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10 January 2013
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risk measure
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ES
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market frictions
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portfolio optimization
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performance ratios
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0.7783201336860657
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0.7603039741516113
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0.7578588724136353
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0.7551291584968567
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0.7511274814605713
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