References

• 1999Coherent Measures of Risk8,849 cited
• 2002Conditional value-at-risk for general loss distributions3,847 cited
• 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
• 1993Dynamic Asset Pricing Theory.2,891 cited
• 2001Portfolio optimization with conditional value-at-risk objective and constraints781 cited
• 1964Information and information stability of random variables and processes757 cited
• 2002How Accurate Are Value‐at‐Risk Models at Commercial Banks?531 cited
• 2004A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model333 cited
• 2002Portfolio Value‐at‐Risk with Heavy‐Tailed Risk Factors284 cited
• 2003Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall274 cited
• 2003Shortfall as a risk measure: properties, optimization and applications269 cited
• 1991Some hypotheses about risk in venture capital investing219 cited
• 2001Financial Risk Manager Handbook215 cited
• 2006Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach65 cited
• 2002Comparative Analyses of Expected Shortfall and Value-at-Risk (2): Expected Utility Maximization and Tail Risk