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    Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
    13 years 11 months ago
    Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
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    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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