Vadim Lesnevski, Barry L. Nelson, Jeremy Staum. Simulation of Coherent Risk Measures Based on Generalized Scenarios. Management Science, 53(11):1756-1769, 2007. [doi]
@article{LesnevskiNS07,
title = {Simulation of Coherent Risk Measures Based on Generalized Scenarios},
author = {Vadim Lesnevski and Barry L. Nelson and Jeremy Staum},
year = {2007},
doi = {10.1287/mnsc.1070.0734},
url = {http://dx.doi.org/10.1287/mnsc.1070.0734},
tags = {rule-based},
researchr = {https://researchr.org/publication/LesnevskiNS07},
cites = {0},
citedby = {0},
journal = {Management Science},
volume = {53},
number = {11},
pages = {1756-1769},
}