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Mean-risk models using two risk measures: a multi-objective approach
16 references·13 citing·30 second hop
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 1952Portfolio Selection4,609 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns1,215 cited
  • 2001Portfolio optimization with conditional value-at-risk objective and constraints781 cited
  • 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk770 cited
  • 2010Portfolio selection with higher moments535 cited
  • 1999From stochastic dominance to mean-risk models: Semideviations as risk measures532 cited
  • 2002Dual Stochastic Dominance and Related Mean-Risk Models496 cited
  • 2002Expected shortfall and beyond408 cited
  • 2003Multiple criteria decision making combined with finance: A categorized bibliographic study392 cited
  • 1982Stochastic Dominance, Mean Variance, and Gini's Mean Difference330 cited
  • 2001

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On consistency of stochastic dominance and mean–semideviation models
257 cited

Cited by

  • 2007Handling CVaR objectives and constraints in two-stage stochastic models98 cited
  • 2009Processing second-order stochastic dominance models using cutting-plane representations98 cited
  • 2022Does ESG Impact Really Enhance Portfolio Profitability?75 cited
  • 2013Multicriteria decision systems for financial problems66 cited
  • 2015Multi-stage stochastic mean–semivariance–CVaR portfolio optimization under transaction costs62 cited
  • 2018APPLICATION OF MARKOWITZ PORTFOLIO OPTIMIZATION ON BULGARIAN STOCK MARKET FROM 2013 TO 201651 cited
  • 2009Portfolio selection models: a review and new directions51 cited
  • 2018A Multi-Objective Portfolio Selection Model With Fuzzy Value-at-Risk Ratio48 cited
  • 2015Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time48 cited
  • 2016A large CVaR-based portfolio selection model with weight constraints39 cited
  • 2024Managing ESG ratings disagreement in sustainable portfolio selection30 cited
  • 2019An investigation of route-choice in integrated public transport networks by risk-averse users7 cited
  • 2022The Legacy of Peter Fishburn: Foundational Work and Lasting Impact5 cited