CV@R-penalised portfolio optimisation with biased stochastic mirror descent (Q6965580)
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scientific article; zbMATH DE number 8058350
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| English | CV@R-penalised portfolio optimisation with biased stochastic mirror descent |
scientific article; zbMATH DE number 8058350 |
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CV@R-penalised portfolio optimisation with biased stochastic mirror descent (English)
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3 July 2025
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stochastic mirror descent
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biased observations
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risk management constraint
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portfolio selection
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discretisation
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