Tight bounds for some risk measures, with applications to robust portfolio selection (Q3225916)
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scientific article; zbMATH DE number 6018426
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| English | Tight bounds for some risk measures, with applications to robust portfolio selection |
scientific article; zbMATH DE number 6018426 |
Statements
Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection (English)
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26 March 2012
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portfolio selection
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robust optimization
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\(S\)-shaped function
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Chebyshev inequality
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0.8286541104316711
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0.8281030058860779
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0.8278853297233582
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0.822798490524292
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