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Cited by

• 2007AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT351 cited
• 2005DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION349 cited
• 2004Value-at-risk versus expected shortfall: A practical perspective334 cited
• 2006Risk measures via -expectations289 cited
• 2019Dynamic semiparametric models for expected shortfall (and Value-at-Risk)288 cited
• 2013Generalized quantiles as risk measures254 cited
• 2004Different Approaches to Risk Estimation in Portfolio Theory253 cited
• 2005Minimizing CVaR and VaR for a portfolio of derivatives243 cited
• 2017Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution225 cited
• 2009RISK MEASURES ON ORLICZ HEARTS214 cited
• 2006After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures174 cited
• 2006Using extreme value theory to measure value-at-risk for daily electricity spot prices166 cited
• 2007The limits of diversification when losses may be large166 cited
• 2007An emergent framework for supply chain risk management and performance measurement161 cited