The class of polyhedral coherent risk measures (Q2574231)
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scientific article; zbMATH DE number 2230135
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| English | The class of polyhedral coherent risk measures |
scientific article; zbMATH DE number 2230135 |
Statements
The class of polyhedral coherent risk measures (English)
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18 November 2005
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coherent risk measure
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polyhedral coherent risk measure
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conditional value-at-risk (CVaR)
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stochastic domination of the second order
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optimal portfolio problem
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0.8827028870582581
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0.8804240226745605
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0.8786145448684692
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0.871010422706604
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0.8704996109008789
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