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"Credit risk optimization with Conditional Value-at-Risk criterion."

Fredrik Andersson et al. (2001)

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DOI: 10.1007/PL00011399

access: closed

type: Journal Article

metadata version: 2019-10-19

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Fredrik Andersson, Helmut Mausser, Dan Rosen, Stanislav Uryasev:
Credit risk optimization with Conditional Value-at-Risk criterion. Math. Program. 89(2): 273-291 (2001)

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