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Uryasev, Stan

  1. Calculating CVaR and bPOE for Common Probability Distributions With Application to Portfolio Optimization and Density Estimation
    2018/11/27 by Norton, Matthew, Khokhlov, Valentyn, Uryasev, Stan · 3 citations
    #FOS: Computer and information sciences #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Other Statistics (stat.OT) #Probability (math.PR) #Risk Management (q-fin.RM)