Portfolio Selection with Multiple Spectral Risk Constraints (Q5258454)
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scientific article; zbMATH DE number 6450932
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio Selection with Multiple Spectral Risk Constraints |
scientific article; zbMATH DE number 6450932 |
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Portfolio Selection with Multiple Spectral Risk Constraints (English)
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26 June 2015
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large scale portfolio optimization
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coherent risk measures
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first-order algorithms
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