Robustifying convex risk measures for linear portfolios: a nonparametric approach (Q2941425)
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scientific article; zbMATH DE number 6476750
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| English | Robustifying convex risk measures for linear portfolios: a nonparametric approach |
scientific article; zbMATH DE number 6476750 |
Statements
Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach (English)
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28 August 2015
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robust optimization
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Kantorovich distance
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norm-constrained portfolio optimization
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soft robust constraints
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0.7965680956840515
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0.7952930927276611
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0.7926332354545593
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0.7919545769691467
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