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A note on portfolio selections under various risk measures
16 references·9 citing·39 second hop
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this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 1997An Overview of Value at Risk1,320 cited
  • 2001Value at Risk846 cited
  • 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk770 cited
  • 2002Trust Breeds Trust: How Taxpayers Are Treated511 cited
  • 2002Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis330 cited
  • 2005Value-at-risk in portfolio optimization: properties and computational approach325 cited
  • 2003Publishing as Prostitution? – Choosing Between One's Own Ideas and Academic Success296 cited
  • 2003Using copulae to bound the Value-at-Risk for functions of dependent risks278 cited
  • 1997Financial Economics233 cited
  • 2001Expected Shortfall as a Tool for Financial Risk Management162 cited
  • 2003Homo Oeconomicus versus Homo Reciprocans: Ansatze fur ein neues Wirtschaftspolitisches Leitbild?128 cited
  • 2003Flexible Citizenship for a Global Society99 cited
  • 2000

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Political economists are neither selfish nor indoctrinated
86 cited

Cited by

  • 2003The Role of Income Aspirations in Individual Happiness96 cited
  • 2008Second-Order Stochastic Dominance, Reward-Risk Portfolio Selection, and the CAPM51 cited
  • 2019A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost49 cited
  • 2013Conditional Value-at-Risk, spectral risk measures and (non-)diversification in portfolio selection problems – A comparison with mean–variance analysis49 cited
  • 2002Rational Investor Sentiment47 cited
  • 2003On Cheating and Whistle-Blowing38 cited
  • 2003Agents' Rationality and the Chf/Usd Exchange Rate Part Ii26 cited
  • 2003Agents' Rationality and the Chf/Usd Exchange Rate Part 117 cited
  • 2003Do Business Students Make Good Citizens?12 cited