Robust least square semidefinite programming with applications
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- Jeremy Berkowitz, 1999. "A coherent framework for stress-testing," Finance and Economics Discussion Series 1999-29, Board of Governors of the Federal Reserve System (U.S.).
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KeywordsRobust optimization; Uncertain least square SDP; Strong duality; Infeasibility; Spectral gradient projection method; Robust correlation stress testing;
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