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minimizing cvar and var for a portfolio of derivatives.pdf

上传者: 2020-10-07 23:29:03上传 PDF文件 490.45KB 热度 14次
S. Alexander, T. F. Coleman, and Y. Li, “Minimizing VaR and CVaR for a portfolio of derivatives,” Journal of Banking and Finance, vol. 30, no. 2, pp. 583–605, 2006.
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