Conditional value-at-risk in portfolio optimization: coherent but fragile (Q635502)
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scientific article; zbMATH DE number 5941228
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| English | Conditional value-at-risk in portfolio optimization: coherent but fragile |
scientific article; zbMATH DE number 5941228 |
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Conditional value-at-risk in portfolio optimization: coherent but fragile (English)
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19 August 2011
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portfolio optimization
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conditional value-at-risk
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expected shortfall
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coherent measures of risk
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mean-CVaR optimization
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mean-variance optimization
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0.8696178197860718
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0.8488547801971436
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0.8395883440971375
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0.8185451030731201
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0.8121224045753479
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