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"On the inadequacy of VaR-based risk management: VaR, CVaR, and nonlinear ..."
Uma Ravat, Uday V. Shanbhag, Richard B. Sowers (2014)
- Uma Ravat, Uday V. Shanbhag, Richard B. Sowers:
On the inadequacy of VaR-based risk management: VaR, CVaR, and nonlinear interactions. Optim. Methods Softw. 29(4): 877-897 (2014)
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