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Optimization of value-at-risk portfolios in uncertain lognormal models

Yuji Yoshida. Optimization of value-at-risk portfolios in uncertain lognormal models. In Joint IFSA World Congress and NAFIPS Annual Meeting, IFSA/NAFIPS 2013, Edmonton, Alberta, Canada, June 24-28, 2013. pages 263-268, IEEE, 2013. [doi]

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