{"id":"W4229454424","doi":"10.1155/2022/6357701","title":"Optimal HARA Investments with Terminal VaR Constraints","year":2022,"lang":"en","type":"article","venue":"Advances in Operations Research","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":1,"is_retracted":false,"has_abstract":true,"ca_institutions":"Western University","funders":"","keywords":"Kurtosis; Economics; Value at risk; Econometrics; Vector autoregression; Portfolio; Constraint (computer-aided design); Sharpe ratio; Risk aversion (psychology); Investment strategy; Expected utility hypothesis; Risk management; Microeconomics; Mathematics; Financial economics; Statistics; 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":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.0006245047,0.00008362202,0.0001604928,0.0003455871,0.0007163082,0.000069969,0.0003456495,0.00002404931,0.0006166091],"category_scores_gemma":[0.0001068183,0.00009283795,0.00001994082,0.0009699936,0.0002967065,0.000375334,0.0001594728,0.0003910462,0.0001599233],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0001920946,"about_ca_system_score_gemma":0.0001320549,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0001598702,"about_ca_topic_score_gemma":0.0001182731,"domain_scores_codex":[0.9988305,0.00001772731,0.000318053,0.0003790517,0.0001217743,0.0003328816],"domain_scores_gemma":[0.9995213,0.0000633399,0.00003531386,0.0002502982,0.00007008079,0.00005966027],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"not_applicable","study_design_scores_codex":[0.00002189504,0.0001780648,0.002150239,0.000008528164,0.000005202032,0.00001268034,0.0003740451,0.02953849,0.00001054153,0.9647888,0.00004404819,0.00286747],"study_design_scores_gemma":[0.004550955,0.001932681,0.02110723,0.00007109802,0.000007931325,0.000236036,0.00567665,0.09955655,0.0001898324,0.4266176,0.4386832,0.001370228],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.2518165,0.01010532,0.6497431,0.002727434,0.0003427124,0.002178172,0.001123202,0.00007458731,0.08188905],"genre_scores_gemma":[0.9819337,0.0001789045,0.01525531,0.0001377617,0.00004556431,0.001731861,0.00004612916,0.00001548581,0.0006552713],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.7301173,"threshold_uncertainty_score":0.6751437,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.05641709270933117,"score_gpt":0.3405876113744449,"score_spread":0.2841705186651137,"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."}}