Worst-case CVaR based portfolio optimization models with applications to scenario planning
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Publication:5891578
DOI10.1080/10556780902865942zbMath1237.90233MaRDI QIDQ5891578
Etienne de Klerk, Renata Sotirov
Publication date: 16 May 2012
Published in: Optimization Methods and Software (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10556780902865942
Uses Software
Cites Work