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risk assessment, uncertainty-penalized optimization to counter estimation error and improve realized utility, and …
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This paper examines optimal portfolio selection using quantile-based risk measures such as Valueat-Risk (VaR) and Conditional Value-at-Risk (CVaR). We address the case of a singular covariance matrix of asset returns, which leads to an optimization problem with infinitely many solutions. An...
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for the analysis is established with the quadrangle theory of risk functions. We derived relationships between elements of …
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estimation for the purpose of portfolio construction. The Gerber statistic extends Kendall's Tau by counting the proportion of …
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