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RM-CVaR: Regularized Multiple β-CVaR Portfolio.
Kei Nakagawa
Shuhei Noma
Masaya Abe
Published in:
IJCAI (2020)
Keyphrases
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portfolio selection
risk measures
nonparametric estimation
robust optimization
portfolio optimization
empirically derived
portfolio management
risk averse
decision making
finite element
neural network
case study
combining multiple
decision theoretic