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Multi-intervals robust mean-conditional value-at-risk portfolio optimisation with conditional scenario reduction technique.
Tahereh Khodamoradi
Maziar Salahi
Ali Reza Najafi
Published in:
Int. J. Appl. Decis. Sci. (2023)
Keyphrases
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genetic algorithm
similarity measure
computationally efficient
real world
machine learning
robust estimation
database
learning algorithm
e learning
website
conditional probabilities
endpoints
reduction method
robust optimization
portfolio optimization
random field model