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"Data-Driven Distributionally Robust CVaR Portfolio Optimization Under A ..."
Chi Seng Pun, Tianyu Wang, Zhenzhen Yan (2023)
- Chi Seng Pun
, Tianyu Wang
, Zhenzhen Yan
:
Data-Driven Distributionally Robust CVaR Portfolio Optimization Under A Regime-Switching Ambiguity Set. Manuf. Serv. Oper. Manag. 25(5): 1779-1795 (2023)
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