Portfolio optimization with structured products under return constraint (Q5278841)
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scientific article; zbMATH DE number 6749271
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization with structured products under return constraint |
scientific article; zbMATH DE number 6749271 |
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Portfolio optimization with structured products under return constraint (English)
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19 July 2017
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linear optimization
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risk measures
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conditional Value-at-Risk
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utility criterion
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linearization
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