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Conditional value-at-risk : aspects of modeling and estimation

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Author(s)
Chernozhukov, Victor
•
Umantsev, Len
Date Issued
2000
Publisher
Cambridge, MA : Massachusetts Institute of Technology, Dept. of Economics
Series/Report no.
Working paper (Massachusetts Institute of Technology. Dept. of Economics) ; no. 01-19
Description
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November 2000.; Received: September 30, 1999, Revised version: November 20, 2000--Abstract
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