Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing (Q377458)
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scientific article
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| English | Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing |
scientific article |
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Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing (English)
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6 November 2013
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portfolio optimization
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quantile hedging
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Neyman-Pearson lemma
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stochastic benchmark
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hypothesis testing
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0.7989084124565125
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0.7687268853187561
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0.7594205737113953
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0.7538783550262451
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0.751825749874115
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