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SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES
16 references·1 citing·35 second hop
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References

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  • 1986Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming171 cited
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  • 2006Optimal investments for risk- and ambiguity-averse preferences: a duality approach

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  • 2015A Comparison of Techniques for Dynamic Multivariate Risk Measures24 cited