{"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":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.003884757,0.0001159833,0.0002777257,0.0004438006,0.0002269945,0.0002034596,0.000185948,0.00006087323,0.00002241932],"category_scores_gemma":[0.001433784,0.00008158348,0.00007492824,0.0003777198,0.00005945224,0.0003433194,0.00007669273,0.000150321,0.000004834419],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00001087969,"about_ca_system_score_gemma":0.00001564513,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.00002259076,"about_ca_topic_score_gemma":0.00001329194,"domain_scores_codex":[0.9980584,0.0002019372,0.0006857935,0.0001970112,0.000718321,0.0001385476],"domain_scores_gemma":[0.9983127,0.0001916403,0.0009140795,0.0001775842,0.0002848747,0.0001191229],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"design_other","study_design_gemma":"not_applicable","study_design_scores_codex":[0.00007365972,0.00002656637,0.06743076,0.000001783322,0.000009779586,0.000008161102,0.00023512,0.0509796,4.520629e-7,0.002600241,0.003576651,0.8750572],"study_design_scores_gemma":[0.001366118,0.0003098285,0.4146204,0.00002925534,0.0002109835,0.00003895683,0.0003216824,0.02658051,0.00001080027,0.0459788,0.5103115,0.0002211073],"study_design_candidate":"design_other","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.09206716,0.0008256994,0.9033862,0.00008457328,0.000438586,0.00009744387,0.000004786289,0.000007335027,0.003088157],"genre_scores_gemma":[0.9094454,0.06082233,0.02907219,0.0001062522,0.0002851728,0.000001413342,8.759311e-7,0.0000088099,0.0002575581],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.8748361,"threshold_uncertainty_score":0.3326878,"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."}}