Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
From MaRDI portal
Publication:1750470
DOI10.1016/j.ejor.2018.02.003zbMath1390.91335OpenAlexW3121333794MaRDI QIDQ1750470
Stavros A. Zenios, Somayyeh Lotfi
Publication date: 22 May 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2018.02.003
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