Edward J. Anderson, Huifu Xu, Dali Zhang. Varying confidence levels for CVaR risk measures and minimax limits. Math. Program., 180(1):327-370, 2020. [doi]
@article{AndersonXZ20,
title = {Varying confidence levels for CVaR risk measures and minimax limits},
author = {Edward J. Anderson and Huifu Xu and Dali Zhang},
year = {2020},
doi = {10.1007/s10107-018-01359-8},
url = {https://doi.org/10.1007/s10107-018-01359-8},
researchr = {https://researchr.org/publication/AndersonXZ20},
cites = {0},
citedby = {0},
journal = {Math. Program.},
volume = {180},
number = {1},
pages = {327-370},
}