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Probabilistic constrained optimization : methodology and applications
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  • 2004Different Approaches to Risk Estimation in Portfolio Theory253 cited
  • 2005Minimizing CVaR and VaR for a portfolio of derivatives243 cited
  • 2007Coherent Approaches to Risk in Optimization Under Uncertainty238 cited
  • 2006Conditional value at risk and related linear programming models for portfolio optimization221 cited
  • 2013Twenty years of linear programming based portfolio optimization218 cited
  • 2011Sequential Convex Approximations to Joint Chance Constrained Programs: A Monte Carlo Approach191 cited
  • 2013The fundamental risk quadrangle in risk management, optimization and statistical estimation187 cited
  • 2005Conditional Value-at-Risk in Stochastic Programs with Mixed-Integer Recourse182 cited
  • 2010Modeling and optimization of risk168 cited
  • 2001Conditional Value-at-Risk: Optimization Approach153 cited
  • 2008Robust optimization of conditional value at risk and portfolio selection141 cited
  • 2011Conditional value-at-risk in portfolio optimization: Coherent but fragile138 cited
  • 2007Higher moment coherent risk measures132 cited
  • 2010TRACTABLE ROBUST EXPECTED UTILITY AND RISK MODELS FOR PORTFOLIO OPTIMIZATION131 cited

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  • 2011The Impact of Skewness and Fat Tails on the Asset Allocation Decision129 cited
  • 2008DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY115 cited