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Credit risk optimization with Conditional Value-at-Risk criterion

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2005Portfolio management with heuristic optimization130 cited
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2023Operational Research: methods and applications124 cited
2004Measures of risk

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2007Handling CVaR objectives and constraints in two-stage stochastic models98 cited

2001Asset/Liability Management for Pension Funds Using CVaR Constraints97 cited

2014Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk91 cited

2006A data-driven optimization heuristic for downside risk minimization89 cited