Robust reward–risk ratio portfolio optimization (Q6091880)

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scientific article; zbMATH DE number 7768698
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Robust reward–risk ratio portfolio optimization
scientific article; zbMATH DE number 7768698

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    Robust reward–risk ratio portfolio optimization (English)
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    21 November 2023
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    robust portfolio optimization
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    reward-risk ratio
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    omega ratio
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    STARR ratio
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    weighted conditional value at risk
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    cutting plane algorithm
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