Lujun Li, Hui Shao, Ruodu Wang, Jingping Yang. Worst-Case Range Value-at-Risk with Partial Information. SIAM J. Financial Math., 9(1):190-218, 2018. [doi]
@article{LiSWY18,
title = {Worst-Case Range Value-at-Risk with Partial Information},
author = {Lujun Li and Hui Shao and Ruodu Wang and Jingping Yang},
year = {2018},
doi = {10.1137/17M1126138},
url = {https://doi.org/10.1137/17M1126138},
researchr = {https://researchr.org/publication/LiSWY18},
cites = {0},
citedby = {0},
journal = {SIAM J. Financial Math.},
volume = {9},
number = {1},
pages = {190-218},
}