Efficient optimization of the reward-risk ratio with polyhedral risk measures (Q684143)
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scientific article; zbMATH DE number 6836897
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| English | Efficient optimization of the reward-risk ratio with polyhedral risk measures |
scientific article; zbMATH DE number 6836897 |
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Efficient optimization of the reward-risk ratio with polyhedral risk measures (English)
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9 February 2018
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portfolio optimization
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reward-risk ratio
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tangency portfolio
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polyhedral risk measures
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fractional programming
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linear programming
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computation
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0.9004378318786621
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0.84871906042099
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0.7920522689819336
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0.7918442487716675
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