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Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics

So Yeon Chun, Alexander Shapiro, Stan Uryasev. Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics. Operations Research, 60(4):739-756, 2012. [doi]

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So Yeon Chun

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Alexander Shapiro

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Stan Uryasev

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