Computational aspects of minimizing conditional value-at-risk
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- Pu Huang & Dharmashankar Subramanian, 2012. "Iterative estimation maximization for stochastic linear programs with conditional value-at-risk constraints," Computational Management Science, Springer, pages 441-458.
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More about this item
KeywordsConditional value-at-risk; Stochastic programming; Mathematical programming algorithms; Stochastic models; Finance; Portfolio optimization; Risk management;
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