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91
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WSC
2004
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Modeling And Simulation
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WSC 2004
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Simulation of Coherent Risk Measures
15 years 4 months ago
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www.informs-sim.org
In financial risk management, a coherent risk measure equals the maximum expected loss under several different probability measures, which are analogous to systems in ranking and ...
Vadim Lesnevski, Barry L. Nelson, Jeremy Staum
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