Optimization of Conditional Value-at-Risk
Central to the new approach is a technique for portfolio optimization which calculates VaR and optimizes CVaR simultaneously. This technique is suitable for use by investment companies, ... 98195-2420, E-mail: rtr@math.washington.edu 2University of Florida, Dept. of Industrial and Systems Engineering, PO Box 116595, 303 Weil Hall, Gainesville,
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