A note on optimal portfolio corresponding to the CVaR ratio (Q4578150)
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scientific article; zbMATH DE number 6914617
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on optimal portfolio corresponding to the CVaR ratio |
scientific article; zbMATH DE number 6914617 |
Statements
A note on optimal portfolio corresponding to the CVaR ratio (English)
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8 August 2018
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reward-risk ratio optimization
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CVaR ratio
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optimal portfolio
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linear programming
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subderivative
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