Nilay Noyan, Gábor Rudolf, Optimization with Multivariate Conditional Value-at-Risk Constraints, Operations Research, Vol. 61, No. 4 (July-August 2013), pp. 990-1013 ...

Closed form expressions for the maximum likelihood estimates (MLE) of the parameters in a multivariate normal distribution in which the variances are homogeneous and the correlations are equal is well ...