文件名称:Worst-Case_Conditional_Value-at-Risk_with_Applicat.pdf
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更新时间:2023-10-20 03:55:47
CVaR
Zhu, S. , & Fukushima, M. (2009). Worst-case conditional value-at-risk with applica- tion to robust portfolio management. Operations Research, 57 (5), 1155–1168 .