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Xuan Vinh Doan
Information about the author Xuan Vinh Doan will soon be added to the site.
Found
3 papers
in total
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Robustness to Dependency in Portfolio Optimization Using Overlapping Marginals
2015
In this paper, we develop a distributionally robust portfolio optimization model where...
Models for minimax stochastic linear optimization problems with risk aversion
2010
We propose a semidefinite optimization (SDP) model for the class of minimax two-stage...
Approximating integrals of multivariate exponentials: A moment approach
2008
We propose a method to calculate lower and upper bounds of some exponential...
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