SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
On Relation Betweeen Expected Regret and Conditional Value-at-Risk
16 references·0 citing·34 second hop
On Relation Betweeen Expected Regret and Conditional Value-at-Risk (2004)On Relation Betweeen Expected Regret and …On the coherence of expected shortfall (2002)On the coherence of expected …Conditional value-at-risk: optimization algorithms and applications (2002)Conditional value-at-risk: op…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Portfolio optimization with conditional value-at-risk objective and constraints (2001)Portfolio optimization with c…Expected Shortfall as a Tool for Financial Risk Management (2001)Expected Shortfall as a Tool …Credit risk optimization with Conditional Value-at-Risk criterion (2001)Credit risk optimization with…Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk (2000)Some Remarks on the Value-at-…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Asset Allocation in a Downside Risk Framework (2000)Asset Allocation in a Downsid…Extreme Value Theory as a Risk Management Tool (1999)Extreme Value Theory as a Ris…Worldwide asset and liability modeling (1998)Worldwide asset and liability…Formulation of the Russell-Yasuda Kasai Financial Planning Model (1998)Formulation of the Russell-Ya…A Minimax Portfolio Selection Rule with Linear Programming Solution (1998)A Minimax Portfolio Selection…Stochastic Programming (1995)Stochastic ProgrammingMean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…Asset Allocation in a Downside-Risk Framework (1991)Asset Allocation in a Downsid…Coherent Measures of Risk (1999)Expected Shortfall: A Natural Coherent Alternative to Value at Risk (2002)Generalized deviations in risk analysis (2005)Optimal rules for ordering uncertain prospects (1975)Behavioral Models of Risk Taking in Business Decisions: A Survey and Evaluation (1977)Increased Correlation in Bear Markets (2002)Mean-Modified Value-at-Risk Optimization with Hedge Funds (2002)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Modern Portfolio Theory and Investment Analysis. (1982)From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)Heuristics for cardinality constrained portfolio optimisation (2000)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)Empirical Tests for Stochastic Dominance Efficiency (2003)DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION (2005)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)Predicting financial crashes using discrete scale invariance (1999)Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Evaluation and Combination of Conditional Quantile Forecasts (2005)PORTFOLIO SELECTION* (1952)Making and Evaluating Point Forecasts (2011)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Lectures on Stochastic Programming: Modeling and Theory (2009)Quantitative Risk Management (2011)Optimization under uncertainty: state-of-the-art and opportunities (2003)Adjustable robust solutions of uncertain linear programs (2004)A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model (2004)Monte Carlo sampling-based methods for stochastic optimization (2014)
this work references cited by second hop

References

  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 1995Stochastic Programming1,539 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 2001Portfolio optimization with conditional value-at-risk objective and constraints781 cited
  • 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk770 cited
  • 1999Extreme Value Theory as a Risk Management Tool465 cited
  • 1998A Minimax Portfolio Selection Rule with Linear Programming Solution406 cited
  • 1991Asset Allocation in a Downside-Risk Framework398 cited
  • 2002Conditional value-at-risk: optimization algorithms and applications382 cited
  • 1998Worldwide asset and liability modeling370 cited
  • 2000Asset Allocation in a Downside Risk Framework325 cited
  • 2001Credit risk optimization with Conditional Value-at-Risk criterion295 cited
  • 1998Formulation of the Russell-Yasuda Kasai Financial Planning Model202 cited
  • 2001

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Expected Shortfall as a Tool for Financial Risk Management
162 cited

Cited by

No citing works inside the corpus for this window.