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Pablo Guedes
Federal University of Rio Grande do Sul (UFRGS/PPGA)
Brazil
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SCHOLARLY PAPERS
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Scholarly Papers (1)
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A Comparison of Risk Measures for Portfolio Optimization With Cardinality Constraints
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A Comparison of Risk Measures for Portfolio Optimization With Cardinality Constraints
Number of pages: 34
Posted: 27 Jun 2022
Henrique Ramos
,
Marcelo Righi
, Pablo Guedes and
Fernanda Maria Müller
Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal do Rio Grande do Sul (UFRGS), Federal University of Rio Grande do Sul (UFRGS/PPGA) and Universidade Federal do Rio Grande do Sul (UFRGS)
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Abstract:
cardinality constraints, coherent risk measures, risk, linear portfolio optimization, EVaR
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