{"id":"W2514227992","doi":"10.21314/jor.2009.191","title":"Min-Max robust and CVaR robust mean-variance portfolios","year":2009,"lang":"en","type":"article","venue":"The Journal of Risk","topic":"Risk and Portfolio Optimization","field":"Decision Sciences","cited_by":29,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Waterloo","funders":"","keywords":"CVAR; Variance (accounting); Econometrics; Statistics; Mathematics; Computer science; Economics; Portfolio; Expected shortfall; 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":[0.009743601,0.001398193,0.001889686,0.001136081,0.0003661677,0.002450486,0.001790474,0.001502277,0.002167278],"category_scores_gemma":[0.02552359,0.0007742019,0.001586416,0.001131907,0.001355698,0.002460499,0.002011596,0.001995261,0.0003942968],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001301896,"about_ca_system_score_gemma":0.001048377,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001246691,"about_ca_topic_score_gemma":0.0004775463,"domain_scores_codex":[0.9946743,0.002926482,0.0002278982,0.0008286884,0.001097743,0.0002448622],"domain_scores_gemma":[0.988399,0.008200572,0.001450815,0.0009368093,0.0008775777,0.000135177],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.00005998879,0.00002698288,0.0005950541,0.00007163727,0.0001221586,0.00004496039,0.00002912828,0.9289404,0.001044891,0.04632649,0.0004813245,0.02225683],"study_design_scores_gemma":[0.000005668326,0.00004338327,0.0002522814,0.00002029584,0.0000147971,0.00002632046,0.000006749727,0.978369,0.0007410761,0.02010425,0.0004024205,0.00001370317],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.008727286,0.0002957438,0.9889915,0.0001681444,0.0000158011,0.00002230584,0.00003890604,0.0001038343,0.001636454],"genre_scores_gemma":[0.7741249,0.0006433729,0.2208471,0.0002494777,0.0001097047,0.0001891711,0.0002627045,0.000192326,0.003381233],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.009743601,"threshold_uncertainty_score":0.05152971,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.04861479097870843,"score_gpt":0.310947425680921,"score_spread":0.2623326347022126,"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."}}