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"On the inadequacy of VaR-based risk management: VaR, CVaR, and nonlinear ..."

Uma Ravat, Uday V. Shanbhag, Richard B. Sowers (2014)

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DOI: 10.1080/10556788.2013.860528

access: closed

type: Journal Article

metadata version: 2024-02-05

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Uma Ravat, Uday V. Shanbhag, Richard B. Sowers:
On the inadequacy of VaR-based risk management: VaR, CVaR, and nonlinear interactions. Optim. Methods Softw. 29(4): 877-897 (2014)

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