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Time Consistent Multi-period Worst-Case Risk Measure in Robust Portfolio Selection
Liu, Jia, Chen, Zhi-Ping, Hui, Yong-ChangLanguage:
english
Journal:
Journal of the Operations Research Society of China
DOI:
10.1007/s40305-017-0188-9
Date:
January, 2018
File:
PDF, 570 KB
english, 2018