Worst-case conditional value-at-risk with application to robust portfolio management (Q3100415)
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scientific article; zbMATH DE number 5978590
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| English | Worst-case conditional value-at-risk with application to robust portfolio management |
scientific article; zbMATH DE number 5978590 |
Statements
Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management (English)
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24 November 2011
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conditional value-at-risk
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portfolio management
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0.8979073762893677
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0.8792645335197449
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0.8683193922042847
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0.8580328226089478
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0.8484331369400024
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