DrGah-YiBan

Business School

Associate Professor of Analytics and Operations

Contact

g.ban

Location

Business School BuildingSouth Kensington Campus

Summary

Publications

Citation

BibTex format

@article{Lim:2011:10.1016/j.orl.2011.03.004,
author = {Lim, AEB and Shanthikumar, JG and Vahn, G-Y},
doi = {10.1016/j.orl.2011.03.004},
journal = {Operations Research Letters},
pages = {163--171},
title = {Conditional value-at-risk in portfolio optimization: Coherent but fragile},
url = {http://dx.doi.org/10.1016/j.orl.2011.03.004},
volume = {39},
year = {2011}
}

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RIS format (EndNote, RefMan)

TY  - JOUR
AU  - Lim,AEB
AU  - Shanthikumar,JG
AU  - Vahn,G-Y
DO  - 10.1016/j.orl.2011.03.004
EP  - 171
PY  - 2011///
SN  - 0167-6377
SP  - 163
TI  - Conditional value-at-risk in portfolio optimization: Coherent but fragile
T2  - Operations Research Letters
UR  - http://dx.doi.org/10.1016/j.orl.2011.03.004
VL  - 39
ER  -

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