Mean-CVaR portfolio selection: a nonparametric estimation framework (Q340307)
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scientific article; zbMATH DE number 6652554
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| English | Mean-CVaR portfolio selection: a nonparametric estimation framework |
scientific article; zbMATH DE number 6652554 |
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Mean-CVaR portfolio selection: a nonparametric estimation framework (English)
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14 November 2016
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portfolio selection
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conditional value-at-risk
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nonparametric estimation
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convex optimization
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Monte Carlo simulation
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0.8039284944534302
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0.7962436676025391
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0.7914478182792664
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0.7900506258010864
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0.7893076539039612
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