Conditional value-at-risk in portfolio optimization: Coherent but fragile
| Year of publication: |
2011
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|---|---|
| Authors: | Lim, Andrew E.B. ; Shanthikumar, J. George ; Vahn, Gah-Yi |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 7207359. - Vol. 39.2011, 3, p. 163-172
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