The class of polyhedral coherent risk measures
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Publication:2574231
DOI10.1023/B:CASA.0000047881.82280.e2zbMath1132.91495MaRDI QIDQ2574231
Publication date: 18 November 2005
Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)
polyhedral coherent risk measurecoherent risk measureoptimal portfolio problemconditional value-at-risk (CVaR)stochastic domination of the second order
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