Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models (Q6549617)
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scientific article; zbMATH DE number 7859362
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models |
scientific article; zbMATH DE number 7859362 |
Statements
Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models (English)
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4 June 2024
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portfolio selection
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normal mean-variance mixtures
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risk measure
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mean-risk-skewness
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EM algorithm
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