{"id":"W2078547130","doi":"10.1016/j.sepro.2011.11.045","title":"Coherent Distortion Risk Measures in Portfolio Selection","year":2012,"lang":"en","type":"article","venue":"Systems Engineering Procedia","topic":"Risk and Portfolio Optimization","field":"Decision Sciences","cited_by":7,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Waterloo","funders":"","keywords":"CVAR; Portfolio optimization; Risk measure; Portfolio; Expected shortfall; Mathematical optimization; Coherent risk measure; Spectral risk measure; Measure (data warehouse); Linear programming; Selection (genetic algorithm); Distortion (music); Dynamic risk measure; Computer science; Modern portfolio theory; Mathematics; Economics; Data mining; Artificial intelligence; Financial economics","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"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":[0.004457465,0.001277956,0.001149752,0.001050996,0.0003881316,0.002699459,0.001259999,0.001447027,0.001877929],"category_scores_gemma":[0.01317674,0.0004761642,0.0008519175,0.001885619,0.002264041,0.003235526,0.002246428,0.002052371,0.0004565058],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001514306,"about_ca_system_score_gemma":0.000975141,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.000875039,"about_ca_topic_score_gemma":0.0004124339,"domain_scores_codex":[0.9970255,0.001437374,0.0001150956,0.0003869478,0.0009108901,0.0001241277],"domain_scores_gemma":[0.9952676,0.003388624,0.0004948236,0.0003677873,0.000373147,0.0001079904],"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":[0.00004634166,0.00004491395,0.001067693,0.0002014576,0.00007487497,0.0000837663,0.00007845916,0.2364227,0.001215233,0.7026532,0.001751547,0.05635976],"study_design_scores_gemma":[0.00002321427,0.0001372219,0.0005185577,0.00005352637,0.00003331648,0.0001165911,0.00003252975,0.6034788,0.001683545,0.3893009,0.00458857,0.00003324542],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.00811952,0.002619707,0.9842158,0.000473834,0.00006269111,0.00003463278,0.00003650872,0.00003166686,0.004405609],"genre_scores_gemma":[0.6636512,0.008361867,0.3194298,0.0003616054,0.0006546997,0.0002610653,0.0001930872,0.00009105113,0.006995658],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.004457465,"threshold_uncertainty_score":0.02357358,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.04425118424936799,"score_gpt":0.3046182600516697,"score_spread":0.2603670758023017,"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."}}