On the feasibility of portfolio optimization under expected shortfall (Q5423191)
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scientific article; zbMATH DE number 5203404
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the feasibility of portfolio optimization under expected shortfall |
scientific article; zbMATH DE number 5203404 |
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On the feasibility of portfolio optimization under expected shortfall (English)
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22 October 2007
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Statistical physics
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finance
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portfolio optimization
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quantitative finance
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correlation modelling
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critical phenomena
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risk measures
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