Instability of portfolio optimization under coherent risk measures (Q3585128)
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scientific article; zbMATH DE number 5773209
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Instability of portfolio optimization under coherent risk measures |
scientific article; zbMATH DE number 5773209 |
Statements
INSTABILITY OF PORTFOLIO OPTIMIZATION UNDER COHERENT RISK MEASURES (English)
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19 August 2010
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coherent risk measures
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portfolio optimization
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expected shortfall
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financial risk
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estimation
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0.8317304849624634
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0.8100250959396362
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0.8085483312606812
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0.8023082613945007
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0.801658570766449
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