Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances

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Authors: Somayyeh Lotfi, Stavros A. Zenios

Journal title: European Journal of Operational Research

Journal number: 269/2

Journal publisher: Elsevier BV

Published year: 2018

Published pages: 556-576

DOI identifier: 10.1016/j.ejor.2018.02.003

ISSN: 0377-2217