Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio
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Publication:2263343
DOI10.1007/s10559-014-9663-zzbMath1311.91173OpenAlexW1973885809MaRDI QIDQ2263343
Publication date: 18 March 2015
Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10559-014-9663-z
portfolio optimizationpolyhedral coherent risk measurespectral risk measureefficiency measurereward-risk ratioconditional VaR
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