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rearrangement-algorithm

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klb2 / rearrangement-algorithm

Python implementation of the rearrangement algorithm to find bounds of functions of dependent risks, e.g., best- and worst-case value-at-risk (VaR).

python operations-research quantitative-risk-analysis rearrangement qrm dependent-risks rearrangement-algorithm

Updated Nov 3, 2021
Python

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