Varying confidence levels for CVaR risk measures and minimax limits
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Publication:2297651
DOI10.1007/s10107-018-01359-8zbMath1436.90092OpenAlexW2911798053MaRDI QIDQ2297651
Da-Li Zhang, Huifu Xu, Edward J. Anderson
Publication date: 20 February 2020
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://eprints.soton.ac.uk/428135/1/CVaR_AXZ.pdf
Numerical mathematical programming methods (65K05) Stochastic programming (90C15) Risk models (general) (91B05) Robustness in mathematical programming (90C17)
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