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Nested Conditional Value-at-Risk portfolio selection : a model with temporal dependence driven by market-index volatility
Staino, Alessandro
;
Russo, Emilio
- In:
European journal of operational research : EJOR
280
(
2020
)
2
,
pp. 741-753
Persistent link: https://www.econbiz.de/10012132469
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2
Minimum capital requirement and portfolio allocation for non-life insurance : a semiparametric model with Conditional Value-at-Risk (CVaR) constraint
Staino, Alessandro
;
Russo, Emilio
;
Costabile, Massimo
; …
- In:
Computational management science
20
(
2023
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10014228472
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