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"Optimizing Expected Shortfall under an ℓ1 Constraint - An Analytic ..."

Gábor Papp, Imre Kondor, Fabio Caccioli (2021)

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DOI: 10.3390/E23050523

access: open

type: Journal Article

metadata version: 2021-09-20

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  dblp key:
  - journals/entropy/PappKC21
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  - https://dblp.org/rec/journals/entropy/PappKC21
Gábor Papp, Imre Kondor, Fabio Caccioli:
Optimizing Expected Shortfall under an ℓ1 Constraint - An Analytic Approach. Entropy 23(5): 523 (2021)

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