{"id":"W1991398958","doi":"10.3390/jrfm7030113","title":"Risk Measures and Portfolio Optimization","year":2014,"lang":"en","type":"article","venue":"Journal of risk and financial management","topic":"Risk and Portfolio Optimization","field":"Decision Sciences","cited_by":29,"is_retracted":false,"has_abstract":true,"ca_institutions":"McMaster University","funders":"","keywords":"Portfolio optimization; Portfolio; Spectral risk measure; Expected shortfall; Mathematical optimization; Value at risk; Geometric Brownian motion; Econometrics; Coherent risk measure; Risk measure; Optimization problem; Expected return; Computer science; Modern portfolio theory; Actuarial science; Mathematics; Risk management; Economics; Financial economics; Finance; Diffusion process","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":true,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.005244983,0.001620614,0.001332363,0.00106591,0.0006381865,0.003041426,0.0009496898,0.002420248,0.002424148],"category_scores_gemma":[0.01616101,0.0004279969,0.000881686,0.001326981,0.003186062,0.00417723,0.001703853,0.002514002,0.0003489316],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001702632,"about_ca_system_score_gemma":0.001272531,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001170491,"about_ca_topic_score_gemma":0.0004284134,"domain_scores_codex":[0.9962599,0.002085913,0.000176407,0.000407789,0.0008699818,0.0002000943],"domain_scores_gemma":[0.9935672,0.004624933,0.0008512815,0.0003025425,0.0004712519,0.0001828776],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.00002651872,0.00004471589,0.0005640265,0.0001421099,0.00007823014,0.00008294109,0.00009180609,0.1734031,0.0009535855,0.8009862,0.000930899,0.02269593],"study_design_scores_gemma":[0.00002447046,0.0001144309,0.0004716442,0.0000688891,0.00002439313,0.00009298064,0.00006445878,0.1818315,0.000608046,0.8124928,0.004177493,0.00002887926],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.05037291,0.0122716,0.9031376,0.004007746,0.0002625333,0.00008326156,0.00008545419,0.0001017089,0.02967711],"genre_scores_gemma":[0.8708221,0.008870558,0.1128073,0.0004351167,0.000500231,0.0001895798,0.0001057363,0.00009301997,0.006176171],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.005244983,"threshold_uncertainty_score":0.02773845,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.01703777189725325,"score_gpt":0.2702251497517411,"score_spread":0.2531873778544878,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}