Worst-Case Conditional Value-at-Risk with Application to...

Operations Research 2009 / 10 Vol. 57; Iss. 5

Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management

Zhu, Shushang, Fukushima, Masao
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Volume:
57
Language:
english
Journal:
Operations Research
DOI:
10.1287/opre.1080.0684
Date:
October, 2009
File:
PDF, 267 KB
english, 2009
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