Robust VaR and CVaR optimization under joint ambiguity in...

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Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances

Lotfi, Somayyeh, Zenios, Stavros A.
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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
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