Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
Lotfi, Somayyeh, Zenios, Stavros A.Language:
english
Journal:
European Journal of Operational Research
DOI:
10.1016/j.ejor.2018.02.003
Date:
February, 2018
File:
PDF, 1.23 MB
english, 2018