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Comparative Analyses of Expected Shortfall and Value-at-Risk (2): Expected Utility Maximization and Tail Risk
12 references·3 citing·43 second hop
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References

  • 2019Theory of games and economic behavior16,630 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns1,215 cited
  • 1975Optimal rules for ordering uncertain prospects860 cited
  • 2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices834 cited
  • 1989Foundations for Financial Economics.831 cited
  • 2010Stochastic Dominance: Investment Decision Making under Uncertainty591 cited
  • 1999From stochastic dominance to mean-risk models: Semideviations as risk measures532 cited
  • 2003Shortfall as a risk measure: properties, optimization and applications269 cited
  • 2002On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall130 cited

Cited by

  • 2004Distortion Risk Measures and Economic Capital53 cited
  • 2009Portfolio selection models: a review and new directions51 cited
  • 2003Conditional value‐at‐risk bounds for compound Poisson risks and anormal approximation

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44 cited