References

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• 1994The Sharpe Ratio2,542 cited
• 1997An Overview of Value at Risk1,320 cited
• 1977Foundations of Finance.1,128 cited
• 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices903 cited
• 2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices834 cited
• 1997Risk-Adjusted Performance581 cited
• 1998Beyond Value at Risk: The New Science of Risk Management489 cited
• 1996Risk 2 : Measuring the Risk in Value at Risk349 cited
• 2002Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis330 cited
• 2000Value at Risk313 cited
• 2001Fundamentals of Futures and Options Markets292 cited
• 1998Value at Risk When Daily Changes in Market Variables are not Normally Distributed257 cited
• 2000An Introduction to Derivatives and Risk Management223 cited
• 1975Adjusting for Risk in Portfolio Performance Measurement187 cited
• 2000A Portfolio Performance Index169 cited