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Inf-Convolution, Optimal Allocations, and Model Uncertainty for Tail Risk Measures.

Fangda LiuTiantian MaoRuodu WangLinxiao Wei
Published in: Math. Oper. Res. (2022)
Keyphrases
  • risk measures
  • cost function
  • sensitivity analysis
  • simulated annealing
  • optimization problems
  • resource allocation