{"id":"W4226027375","doi":"10.2139/ssrn.4092939","title":"A Reverse Expected Shortfall Optimization Formula","year":2022,"lang":"en","type":"article","venue":"SSRN Electronic Journal","topic":"Risk and Portfolio Optimization","field":"Decision Sciences","cited_by":1,"is_retracted":false,"has_abstract":false,"ca_institutions":"University of Waterloo","funders":"","keywords":"Expected shortfall; Computer science; Economics; Risk management; Finance","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":[0.001524463,0.0009172942,0.0007804857,0.0006670512,0.0002750026,0.001213124,0.001010045,0.00149976,0.006853008],"category_scores_gemma":[0.004679945,0.0003108309,0.0006723375,0.0006663056,0.0005647353,0.002030169,0.001030795,0.002249211,0.00125238],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0006314005,"about_ca_system_score_gemma":0.0007962123,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0007511424,"about_ca_topic_score_gemma":0.0005654398,"domain_scores_codex":[0.9995674,0.0001525831,0.00002490095,0.00006302736,0.0001610105,0.00003105647],"domain_scores_gemma":[0.9991373,0.0004435128,0.00006215604,0.00007890554,0.0002312621,0.00004673617],"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":[0.00006826055,0.0001008809,0.0003747631,0.0002282343,0.00005458194,0.0002699777,0.00007028754,0.2939736,0.003890653,0.5756784,0.01491862,0.1103717],"study_design_scores_gemma":[0.00001703359,0.00003682879,0.0001318345,0.00004666481,0.00002027558,0.0001072852,0.000007709985,0.8590738,0.0007910082,0.1345768,0.005176363,0.00001432919],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"methods","genre_scores_codex":[0.008691851,0.001199693,0.9563273,0.001459349,0.0005831769,0.00005571119,0.000101948,0.0001416663,0.03143935],"genre_scores_gemma":[0.5041835,0.002424154,0.4125132,0.001113715,0.001368477,0.000316818,0.0004063274,0.0004079123,0.07726584],"genre_candidate":"methods","genre_consensus":"methods","teacher_disagreement_score":0.006853008,"threshold_uncertainty_score":0.02292562,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.03153566385236568,"score_gpt":0.3189649422527673,"score_spread":0.2874292784004016,"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."}}