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worst case VaR and Robust portfolio_A conic programming approach.pdf

上传者: 2020-09-27 16:08:44上传 PDF文件 192.5KB 热度 21次
A widely-used uncertainty set is the ellipsoidal set (e.g. Ben-Tal & Nemirovski, 1998; Ghaoui et al., 2003; Gulpinar & Pachamanova, 2013; Gulpinar et al., 2016 ):
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