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  • Search: subject:"Effective utility functions"
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Admissible set 1 Censored mean 1 Conditional value at risk 1 Effective utility functions 1 Generalized value at risk 1 Hazard functions 1 Hedging 1 Portfolio choice 1 Value at risk 1
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Bowden, Roger 1
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Quantitative Finance 1
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The generalized value at risk admissible set: constraint consistency and portfolio outcomes
Bowden, Roger - In: Quantitative Finance 6 (2006) 2, pp. 159-171
Generalized value at risk (GVaR) adds a conditional value at risk or censored mean lower bound to the standard value at risk and considers portfolio optimization problems in the presence of both constraints. For normal distributions the censored mean is synonymous with the statistical hazard...
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