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Haircut Capital Allocation as the Solution of a Quadratic Optimisation Problem.
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- Mathematics (2227-7390), 2023, v. 11, n. 18, p. 3846, doi. 10.3390/math11183846
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Beyond Value-at-Risk: GlueVaR Distortion Risk Measures.
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- Risk Analysis: An International Journal, 2014, v. 34, n. 1, p. 121, doi. 10.1111/risa.12080
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- Article