Shortfall as a risk measure: properties, optimization and applications

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Publication:953649

DOI10.1016/S0165-1889(03)00109-XzbMath1200.91133MaRDI QIDQ953649

Geoffrey J. Lauprete, Dimitris J. Bertsimas, Alexander M. Samarov

Publication date: 6 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)




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