“…To deal with the observed correlations between the risk factors, approximation schemes must take into account cross-moment information in a numerically efficient way. Such techniques have been developed, e.g., by Edirisinghe [6], Edirisinghe and Ziemba [8,9,10], and Frauendorfer [11,13,14]. See also [7] for a general survey on bound-based approximations.…”