The optimal portfolio problem with coherent risk measure constraints
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Bibliographic InfoArticle provided by Elsevier in its journal European Journal of Operational Research.
Volume (Year): 150 (2003)
Issue (Month): 3 (November)
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- Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2011. "Stable solutions for optimal reinsurance problems involving risk measures," European Journal of Operational Research, Elsevier, vol. 214(3), pages 796-804, November.
- Alejandro Balbás & Beatriz Balbás & Antonio Heras, 2010. "Stability of the optimal reinsurance with respect to the risk measure," Business Economics Working Papers wb100201, Universidad Carlos III, Departamento de Economía de la Empresa.
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