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Generalized deviations in risk analysis
Home
Publications
Generalized deviations in risk analysis
Generalized deviations in risk analysis
R. Tyrrell Rockafellar
R. Tyrrell Rockafellar
Stan Uryasev
Stan Uryasev
Michael Zabarankin
Michael Zabarankin
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1 January 2006
journal article
Published by
Springer Science and Business Media LLC
in
Finance and Stochastics
Vol. 10
(1)
,
51-74
https://doi.org/10.1007/s00780-005-0165-8
Abstract
No abstract available
Keywords
OPTIMIZATION
BEHAVIOR
DEVIATION MEASURES
COHERENT
PORTFOLIO
GENERALIZED DEVIATIONS
RANDOM VARIABLE
RISK MEASURES
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