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MANSCI
2008
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MANSCI 2008
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Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
13 years 8 months ago
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faculty.babson.edu
Value-at-Risk (VaR) is one of the most widely accepted risk measures in the financial and insurance industries, yet efficient optimization of VaR remains a very difficult problem....
Karthik Natarajan, Dessislava Pachamanova, Melvyn ...
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