Robust conditional value-at-risk optimization for asymmetrically distributed asset returns (Q4906129)
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scientific article; zbMATH DE number 6135071
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| English | Robust conditional value-at-risk optimization for asymmetrically distributed asset returns |
scientific article; zbMATH DE number 6135071 |
Statements
7 February 2013
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portfolio optimization
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conditional value at risk
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robust optimization
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linear programming
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second-order cone programming
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0.9203653931617736
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0.8616545796394348
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0.8279114961624146
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0.8260018229484558
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0.8195528984069824
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