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"Correlation stress testing for value-at-risk: an unconstrained convex ..."
Houduo Qi, Defeng Sun (2010)
- Houduo Qi
, Defeng Sun
:
Correlation stress testing for value-at-risk: an unconstrained convex optimization approach. Comput. Optim. Appl. 45(2): 427-462 (2010)
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