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ANOR
2010
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ANOR 2010
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Kusuoka representation of higher order dual risk measures
13 years 10 months ago
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www.optimization-online.org
We derive representations of higher order dual measures of risk in Lp spaces as suprema of integrals of Average Values at Risk with respect to probability measures on (0, 1] (Kusu...
Darinka Dentcheva, Spiridon Penev, Andrzej Ruszczy...
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