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Journal of Industrial and Management Optimization (JIMO)
 

CVaR proxies for minimizing scenario-based Value-at-Risk
Pages: 1109 - 1127, Issue 4, October 2014

doi:10.3934/jimo.2014.10.1109      Abstract        References        Full text (996.4K)           Related Articles

Helmut Mausser - Quantitative Research, Risk Analytics, Business Analytics, IBM, 185 Spadina Avenue, Toronto, ON M5T2C6, Canada (email)
Oleksandr Romanko - Quantitative Research, Risk Analytics, Business Analytics, IBM, 185 Spadina Avenue, Toronto, ON M5T2C6, Canada (email)

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