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OTIMIZAÇÃO DE UMA CARTEIRA DE SWAPS DE ENERGIA ELÉTRICA NO BRASIL, USANDO A MEDIDA ÔMEGA COM RESTRIÇÃO DE CVAR
Author(s) -
IAGO EMANUEL BARBOSA DA COSTA VEIGA
Publication year - 2012
Language(s) - Portuguese
Resource type - Dissertations/theses
DOI - 10.17771/pucrio.acad.21001
Subject(s) - cvar , economics , physics , expected shortfall , financial economics , portfolio

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