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Budapest Hungary

  1. Algorithms for handling CVaR constraints in dynamic stochastic programming models with applications to finance

    Department of Operations Research, Eötvös Loránd University of Budapest, Pázmány Péter sétány 1/c, Budapest H-1117, Hungary and Institute of Information Technology, Kecskemét College, Izsáki út 10, Kecskemét H-6000, Hungary; email: [email protected]