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Portfolio Optimization with Spectral Measures of Risk

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Cited by

2016Time-Consistent Decisions and Temporal Decomposition of Coherent Risk Functionals66 cited
2013The natural Banach space for version independent risk measures55 cited
2013Conditional Value-at-Risk, spectral risk measures and (non-)diversification in portfolio selection problems – A comparison with mean–variance analysis49 cited
2015Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR46 cited
2013Evaluations of Risk Measures for Different Probability Measures44 cited
2017Minimum risk versus capital and risk diversification strategies for portfolio construction42 cited
2007Coherent measures of risk in everyday market practice†42 cited
2017Risk management with weighted VaR

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34 cited

2004Progress in Risk Measurement 134 cited

2018Spectral risk measure minimization in hazardous materials transportation6 cited