Robust Value-at-Risk Optimization with Interval Random Uncertainty Set

Wei Chen, Shaohua Tan. Robust Value-at-Risk Optimization with Interval Random Uncertainty Set. In 22nd IEEE International Conference on Tools with Artificial Intelligence, ICTAI 2010, Arras, France, 27-29 October 2010 - Volume 1. pages 281-286, IEEE Computer Society, 2010. [doi]

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