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Original Articles

Robust value-at-risk: an information-theoretic approach

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Pages 1551-1553 | Published online: 28 Sep 2009

References

  • Hansen , L. P. and Sargent , T. J. 2007 . Robustness , Princeton, New Jersey : Princeton University Press .
  • Jorion , P. 2006 . Value at Risk: The New Benchmark for Managing Financial Risk , 3rd , New York : McGraw-Hill .
  • Kullback , S. and Leibler , R. A. 1951 . On information and sufficiency . The Annals of Mathematical Statistics , 22 : 79 – 86 .
  • Rockafellar , R. T. and Ursayev , S. 2000 . Optimization of conditional value-at-risk . The Journal of Risk , 2 : 21 – 41 .

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