Distributionally Robust Optimization as a Scalable Framework to Characterize Extreme Value Distributions
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- Yuen, Robert & Stoev, Stilian & Cooley, Daniel, 2020. "Distributionally robust inference for extreme Value-at-Risk," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 70-89.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2024-09-09 (Econometrics)
- NEP-RMG-2024-09-09 (Risk Management)
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