Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach

David Wozabal. Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach. Operations Research, 62(6):1302-1315, 2014. [doi]

@article{Wozabal14,
  title = {Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach},
  author = {David Wozabal},
  year = {2014},
  doi = {10.1287/opre.2014.1323},
  url = {http://dx.doi.org/10.1287/opre.2014.1323},
  researchr = {https://researchr.org/publication/Wozabal14},
  cites = {0},
  citedby = {0},
  journal = {Operations Research},
  volume = {62},
  number = {6},
  pages = {1302-1315},
}