A Worst-Case Risk Measure by G-VaR

Zi-ting PEI, Xi-shun WANG, Yu-hong XU, Xing-ye YUE

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Acta Mathematicae Applicatae Sinica(English Series) ›› 2021, Vol. 37 ›› Issue (2) : 421-440. DOI: 10.1007/s10255-021-1002-3
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A Worst-Case Risk Measure by G-VaR

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