Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization (Q989841)
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scientific article; zbMATH DE number 5774170
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| English | Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization |
scientific article; zbMATH DE number 5774170 |
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Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization (English)
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23 August 2010
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portfolio optimization
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CVaR
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nondifferentiable optimization
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0.8314173817634583
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0.8306218385696411
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0.830073356628418
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0.8103711605072021
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0.7972843050956726
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