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Efficient VaR and CVaR Measurement via Stochastic Kriging.

Xi ChenKyoung-Kuk Kim
Published in: INFORMS J. Comput. (2016)
Keyphrases
  • risk measures
  • robust optimization
  • multi objective
  • stochastic programming
  • data mining
  • decision making
  • database systems
  • linear programming
  • computationally efficient
  • stochastic model
  • efficient solutions