Karthik Natarajan, Dessislava Pachamanova, Melvyn Sim. Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization. Management Science, 54(3):573-585, 2008. [doi]
@article{NatarajanPS08,
title = {Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization},
author = {Karthik Natarajan and Dessislava Pachamanova and Melvyn Sim},
year = {2008},
doi = {10.1287/mnsc.1070.0769},
url = {http://dx.doi.org/10.1287/mnsc.1070.0769},
tags = {optimization},
researchr = {https://researchr.org/publication/NatarajanPS08},
cites = {0},
citedby = {0},
journal = {Management Science},
volume = {54},
number = {3},
pages = {573-585},
}