VaR as the CVaR sensitivity: Applications in risk...

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Journal of Computational and Applied Mathematics 2016 / 7

VaR as the CVaR sensitivity: Applications in risk optimization

Balbás, Alejandro, Balbás, Beatriz, Balbás, Raquel
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Language:
english
Journal:
Journal of Computational and Applied Mathematics
DOI:
10.1016/j.cam.2016.06.036
Date:
July, 2016
File:
PDF, 333 KB
english, 2016
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