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Nilay Noyan, Gábor Rudolf, Optimization with Multivariate Conditional Value-at-Risk Constraints, Operations Research, Vol. 61, No. 4 (July-August 2013), pp. 990-1013 ...
The Review of Financial Studies, Vol. 2, No. 2 (1989), pp. 241-250 (10 pages) We develop a numerical approximation method for valuing multivariate contingent claims. The approach is based on an ...
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