Robust reward–risk ratio portfolio optimization (Q6091880)
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scientific article; zbMATH DE number 7768698
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust reward–risk ratio portfolio optimization |
scientific article; zbMATH DE number 7768698 |
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Robust reward–risk ratio portfolio optimization (English)
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21 November 2023
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robust portfolio optimization
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reward-risk ratio
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omega ratio
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STARR ratio
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weighted conditional value at risk
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cutting plane algorithm
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