"Robust VaR and CVaR optimization under joint ambiguity in distributions, ..."

Somayyeh Lotfi, Stavros A. Zenios (2018)

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DOI: 10.1016/J.EJOR.2018.02.003

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type: Journal Article

metadata version: 2022-10-02

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Somayyeh Lotfi, Stavros A. Zenios:
Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances. Eur. J. Oper. Res. 269(2): 556-576 (2018)

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