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"Conditional value-at-risk in portfolio optimization: Coherent but fragile."

Andrew E. B. Lim, J. George Shanthikumar, Gah-Yi Vahn (2011)

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DOI: 10.1016/J.ORL.2011.03.004

access: closed

type: Journal Article

metadata version: 2017-06-14

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Andrew E. B. Lim, J. George Shanthikumar, Gah-Yi Vahn:
Conditional value-at-risk in portfolio optimization: Coherent but fragile. Oper. Res. Lett. 39(3): 163-171 (2011)

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