Robust portfolio selection under recovery average value at risk (Q6496953)
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scientific article; zbMATH DE number 7842602
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Robust portfolio selection under recovery average value at risk |
scientific article; zbMATH DE number 7842602 |
Statements
Robust portfolio selection under recovery average value at risk (English)
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6 May 2024
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mean-risk portfolio selection
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average value at risk
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distribution uncertainty
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robust portfolio management
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risk measures
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recovery average at risk
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efficient frontier
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mean-risk optimal portfolios
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0.7846909761428833
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0.7803516387939453
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0.7739293575286865
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0.7711325287818909
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0.7687580585479736
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