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

Published 2018 View Full Article

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Title
Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
Authors
Keywords
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Journal
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
Volume 269, Issue 2, Pages 556-576
Publisher
Elsevier BV
Online
2018-02-18
DOI
10.1016/j.ejor.2018.02.003

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