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Convex risk measures for portfolio optimization and concepts of flexibility
13 references·4 citing·31 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
  • 2002On the coherence of expected shortfall1,596 cited
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 2002Spectral measures of risk: A coherent representation of subjective risk aversion946 cited
  • 2006Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes340 cited
  • 2002Measures of risk325 cited
  • 2000Coherent risk measures308 cited
  • 2003Deviation Measures in Risk Analysis and Optimization188 cited
  • 2002VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights183 cited
  • 2002Robust Preferences and Convex Measures of Risk165 cited
  • 2004Optimal derivatives design under dynamic risk measures109 cited

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  • 2007Risk-adjusted probability measures in portfolio optimization with coherent measures of risk45 cited
  • 2012Portfolio-optimization models for small investors40 cited
  • 2012

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Optimization Under Probabilistic Envelope Constraints
40 cited
  • 2013Fast gradient descent method for Mean-CVaR optimization38 cited