Calculating CVaR and bPOE for common probability...

Annals of Operations Research 2019 / 10

Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation

Norton, Matthew, Khokhlov, Valentyn, Uryasev, Stan
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Journal:
Annals of Operations Research
DOI:
10.1007/s10479-019-03373-1
Date:
October, 2019
File:
PDF, 974 KB
2019
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