Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation
Crossref DOI link: https://doi.org/10.1007/s10479-019-03373-1
Published Online: 2019-10-25
Published Print: 2021-04
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Norton, Matthew
Khokhlov, Valentyn
Uryasev, Stan
Funding for this research was provided by:
Naval Postgraduate School (B64C3)
Text and Data Mining valid from 2019-10-25
Version of Record valid from 2019-10-25
Article History
First Online: 25 October 2019