{"id":"W2140971405","doi":"10.1287/mnsc.1060.0632","title":"Proper Conditioning for Coherent VaR in Portfolio Management","year":2007,"lang":"en","type":"article","venue":"Management Science","topic":"Financial Markets and Investment Strategies","field":"Economics, Econometrics and Finance","cited_by":72,"is_retracted":false,"has_abstract":true,"ca_institutions":"Université de Montréal; Center for Interuniversity Research and Analysis on Organizations","funders":"Mitacs","keywords":"Subadditivity; Portfolio; Risk management; Context (archaeology); Economics; Active management; Private information retrieval; Actuarial science; Project portfolio management; Computer science; Econometrics; Financial economics; Finance; Mathematics","routes":{"ca_aff":true,"ca_fund":true,"ca_venue":false,"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":[0.002180804,0.0001252579,0.0001749886,0.0006367674,0.0002196649,0.0001555623,0.0003871527,0.00002553132,0.0001938401],"category_scores_gemma":[0.00001693797,0.0001331757,0.00004630442,0.0007520868,0.0001968814,0.0004774049,0.0001378902,0.00005134664,0.0001215674],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.000185277,"about_ca_system_score_gemma":0.000007666587,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.00003966628,"about_ca_topic_score_gemma":0.0000154,"domain_scores_codex":[0.998365,0.000002730234,0.0004823738,0.000525311,0.00009331579,0.0005312508],"domain_scores_gemma":[0.9994891,0.00001238254,0.0001582221,0.0002601996,0.00001849896,0.00006159995],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"observational","study_design_scores_codex":[0.00001346527,0.0000800046,0.01080866,0.00006756118,0.000009920168,0.00001453102,0.00005975516,0.00005995998,0.00001092304,0.984661,0.001060114,0.003154121],"study_design_scores_gemma":[0.001130187,0.0001147573,0.6410577,0.00007100777,0.00000781383,0.000001012185,0.0006124049,0.001126569,0.0001469674,0.1711696,0.1841477,0.0004143617],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"other","genre_gemma":"empirical","genre_scores_codex":[0.1026309,0.0001858999,0.0216449,0.0002427711,0.0006350556,0.001281846,0.00001235667,0.00004509372,0.8733212],"genre_scores_gemma":[0.9858746,0.00009507711,0.006702631,0.0005337514,0.00003689392,0.0001454602,0.000007018984,0.00001155593,0.006593044],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.8832437,"threshold_uncertainty_score":0.5430746,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.02959375636592512,"score_gpt":0.2433223880416905,"score_spread":0.2137286316757654,"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."}}