A new distributionally robust reward-risk model for portfolio optimization (Q6595260)
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scientific article; zbMATH DE number 7903517
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new distributionally robust reward-risk model for portfolio optimization |
scientific article; zbMATH DE number 7903517 |
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A new distributionally robust reward-risk model for portfolio optimization (English)
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30 August 2024
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distributionally robust
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portfolio optimization
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CVaR
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standard deviation
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semidefinite programming
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