Enhanced index tracking with CVaR-based ratio measures (Q827152)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Enhanced index tracking with CVaR-based ratio measures |
scientific article; zbMATH DE number 7290763
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Enhanced index tracking with CVaR-based ratio measures |
scientific article; zbMATH DE number 7290763 |
Statements
Enhanced index tracking with CVaR-based ratio measures (English)
0 references
6 January 2021
0 references
enhanced index tracking
0 references
quantile risk measures
0 references
conditional value-at-risk
0 references
mean-risk models
0 references
risk-reward ratios
0 references
risk-averse optimization
0 references
stochastic dominance
0 references
linear programming
0 references
0 references
0 references
0 references
0 references
0.8474054932594299
0 references
0.8331268429756165
0 references
0.8265895247459412
0 references
0.8095464706420898
0 references
