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"Robust Portfolio Selection under Recovery Average Value at Risk."

Cosimo Munari, Justin Plückebaum, Stefan Weber (2024)

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DOI: 10.1137/23M1555491

access: closed

type: Journal Article

metadata version: 2024-05-05

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Cosimo Munari, Justin Plückebaum, Stefan Weber:
Robust Portfolio Selection under Recovery Average Value at Risk. SIAM J. Financial Math. 15(1): 295-314 (2024)

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