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On the feasibility of portfolio optimization under expected shortfall

Quantitative Finance, 7(4): 389--396, 2007.
Authors: Stefano Ciliberti and Imre Kondor and Marc M{\'E}zard
URL: http://www.informaworld.com/10.1080/14697680701422089
Tags: imported
| URL | BibTeX  
@article{Ciliberti2007,
title = {On the feasibility of portfolio optimization under expected shortfall},
author = {Stefano Ciliberti and Imre Kondor and Marc M{\'E}zard},
journal = {Quantitative Finance},
number = {4},
pages = {389--396},
publisher = {Routledge},
url = {http://www.informaworld.com/10.1080/14697680701422089},
volume = {7},
year = {2007},
issn = {1469-7688},
keywords = {imported }
}