Confidence Levels for CVaR Risk Measures and Minimax Limits*
Year of publication: |
2014-01
|
---|---|
Authors: | Anderson, Edward ; Xu, Huifu ; Zhang, Dali |
Institutions: | Business School, University of Sydney |
Subject: | sample average approximation | distributional robust optimization | semi-infinate programming | minimax | robust optimization | CVaR approximation |
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