Worst-Case Expected Shortfall with Univariate and Bivariate Marginals

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Cited in

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Frameworks and results in distributionally robust optimization
Dual representation of expectile-based expected shortfall and its properties
Computation of expected shortfall by fast detection of worst scenarios
Robust Actuarial Risk Analysis
Discrete Optimal Transport with Independent Marginals is #P-Hard
Exact solving approach to moment problems with nonnegative Chebyshev ambiguity sets

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