Aumann-Serrano index of risk in portfolio optimization (Q2067257)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Aumann-Serrano index of risk in portfolio optimization |
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Aumann-Serrano index of risk in portfolio optimization (English)
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18 January 2022
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Aumann-Serrano index of riskiness
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portfolio optimization
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normal variance-mean mixture
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convex risk measure
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average value-at-risk
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