Portfolio optimization based on spectral risk measures (Q4930407)
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scientific article; zbMATH DE number 5793162
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| English | Portfolio optimization based on spectral risk measures |
scientific article; zbMATH DE number 5793162 |
Statements
29 September 2010
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coherent risk measures
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spectral risk measures
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ES portfolio
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efficient frontier
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0.848854660987854
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0.8325445055961609
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0.8036328554153442
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0.8034168481826782
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