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Worst-case Conditional Value at Risk for asset liability management: A framework for general loss functions.

Alireza GhahtaraniAhmed SaifAlireza Ghasemi
Published in: Eur. J. Oper. Res. (2024)
Keyphrases
  • worst case
  • upper bound
  • data mining
  • objective function
  • support vector
  • lower bound
  • probabilistic model
  • support vector machine