Inverse portfolio problem with mean-deviation model (Q2514720)
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scientific article; zbMATH DE number 6395717
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| English | Inverse portfolio problem with mean-deviation model |
scientific article; zbMATH DE number 6395717 |
Statements
Inverse portfolio problem with mean-deviation model (English)
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3 February 2015
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risk preferences
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portfolio optimization
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deviation measure
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conditional value-at-risk
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0.90081066
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0.89153004
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0.8641119
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0.86287725
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0.8609798
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0.8607471
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0.8607424
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0.86046636
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