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文件名称：Robust Portfolio Optimization using CVaR.PDF
文件大小：3.1MB
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更新时间：2020-10-22 10:30:37
CVAR
Expected shortfall (ES) is a risk measure—a concept used in the field of financial risk measurement to evaluate the market risk or credit risk of a portfolio. The "expected shortfall at q% level" is the expected return on the portfolio in the worst {\displaystyle q\%}{\displaystyle q\%} of cases. ES