Aumann-Serrano index of risk in portfolio optimization (Q2067257)
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scientific article; zbMATH DE number 7458096
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Aumann-Serrano index of risk in portfolio optimization |
scientific article; zbMATH DE number 7458096 |
Statements
Aumann-Serrano index of risk in portfolio optimization (English)
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18 January 2022
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Aumann-Serrano index of riskiness
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portfolio optimization
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normal variance-mean mixture
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convex risk measure
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average value-at-risk
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0.8955951
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0.8879254
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0.8746034
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0.87408304
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0.8690379
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0.86191696
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0.85898834
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