{"id":"W4281285722","doi":"10.1016/j.jbankfin.2022.106544","title":"The gradient allocation principle based on the higher moment risk measure","year":2022,"lang":"en","type":"article","venue":"Journal of Banking & Finance","topic":"Risk and Portfolio Optimization","field":"Decision Sciences","cited_by":10,"is_retracted":false,"has_abstract":false,"ca_institutions":"","funders":"University of Illinois at Urbana-Champaign; Universität Ulm; University of Waterloo; Departamento Administrativo de Ciencia, Tecnología e Innovación (COLCIENCIAS); Universidad Nacional de Colombia; York University; University of New South Wales; Australian Government","keywords":"Measure (data warehouse); Moment (physics); Risk measure; Mathematics; Economics; Physics; Computer science; Classical mechanics; Financial economics; Data mining","routes":{"ca_aff":false,"ca_fund":true,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":true},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.008693417,0.00008897773,0.0001408448,0.0001122442,0.001246908,0.0001738942,0.0008288503,0.00002053262,0.0001635912],"category_scores_gemma":[0.0005368119,0.00004273833,0.0001440422,0.0006633232,0.00004502428,0.0001205783,0.00006365727,0.0003954968,0.00001220216],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.000142788,"about_ca_system_score_gemma":0.0001480186,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.000006980049,"about_ca_topic_score_gemma":0.000004600241,"domain_scores_codex":[0.9964168,0.0005616439,0.0006259131,0.0001544043,0.002079383,0.0001618627],"domain_scores_gemma":[0.9968337,0.0009410081,0.001393411,0.0004587041,0.0003465795,0.00002662489],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"not_applicable","study_design_scores_codex":[0.0001695828,0.00009317907,0.00693028,3.428739e-7,0.00001458865,0.000009160324,0.0004622586,0.815132,0.0000221871,0.01531595,0.02188777,0.1399627],"study_design_scores_gemma":[0.0002586099,0.0002333339,0.06369395,0.00001487493,0.00001404568,0.000009320168,0.00008101599,0.02742981,0.00008904948,0.007948568,0.9001593,0.00006809934],"study_design_candidate":"not_applicable","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.8601915,0.002316281,0.08291358,0.04173654,0.005955255,0.0005867475,0.00001916235,0.00002202974,0.006258902],"genre_scores_gemma":[0.9969413,0.0005137541,0.0007034107,0.0004713842,0.000133873,0.00001493567,5.211513e-7,0.000007724772,0.001213075],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.8782716,"threshold_uncertainty_score":0.9590332,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.04970313552883081,"score_gpt":0.3133121687905884,"score_spread":0.2636090332617576,"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."}}