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"A Comparison of VaR and CVaR Constraints on Portfolio Selection with the ..."
Gordon J. Alexander, Alexandre M. Baptista (2004)
- Gordon J. Alexander, Alexandre M. Baptista:
A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model. Manag. Sci. 50(9): 1261-1273 (2004)
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