"Robust spectral risk optimization when the subjective risk aversion is ..."

Shaoyan Guo, Huifu Xu (2022)

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DOI: 10.1007/S10107-021-01630-5

access: closed

type: Journal Article

metadata version: 2022-07-25

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Shaoyan Guo, Huifu Xu:
Robust spectral risk optimization when the subjective risk aversion is ambiguous: a moment-type approach. Math. Program. 194(1): 305-340 (2022)

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