Crane, D. B. "A Stochastic Programming Model for Commercial Bank Bond Portfolio Management." Journal of Financial and Quantitative Analysis 6, no. 3 (June 1971).
We propose dual decomposition and solution schemes for multistage CVaRconstrained problems. These schemes meet the need for handling multiple CVaR constraints for different time frames and at ...
When studying for a doctoral degree (PhD), candidates submit a thesis that provides a critical review of the current state of knowledge of the thesis subject as well as the student’s own contributions ...
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