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Computational aspects of minimizing conditional value-at-risk
16 references·8 citing·22 second hop
Computational aspects of minimizing conditional value-at-risk (2005)Computational aspects of minimizing condi…Introduction to Stochastic Programming (2011)Introduction to Stochastic Pr…Stochastic Programming (2010)Stochastic ProgrammingStochastic Linear Programming (2010)Stochastic Linear ProgrammingSpectral measures of risk: A coherent representation of subjective risk aversion (2002)Spectral measures of risk: A …On the coherence of expected shortfall (2002)On the coherence of expected …Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Portfolio optimization with conditional value-at-risk objective and constraints (2001)Portfolio optimization with c…Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk (2000)Some Remarks on the Value-at-…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Coherent Measures of Risk (1999)Coherent Measures of RiskIntroduction to Stochastic Programming (1997)Introduction to Stochastic Pr…Stochastic Programming (1995)Stochastic ProgrammingStochastic Simulation (1987)Stochastic SimulationModern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Robust two-stage stochastic linear optimization with risk aversion (2016)Robust two-stage stochastic l…Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time (2015)Dynamic mean-risk portfolio s…Optimization with Multivariate Conditional Value-at-Risk Constraints (2013)Optimization with Multivariat…Mean–CVaR portfolio selection: A nonparametric estimation framework (2012)Mean–CVaR portfolio selection…On solving the dual for portfolio selection by optimizing Conditional Value at Risk (2010)On solving the dual for portf…An enhanced model for portfolio choice with SSD criteria: a constructive approach (2010)An enhanced model for portfol…A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset (2009)A smoothing method for solvin…Solving two-stage stochastic programming problems with level decomposition (2006)Solving two-stage stochastic …Chance-Constrained Programming (1959)Robust solutions of uncertain linear programs (1999)Optimization under uncertainty: state-of-the-art and opportunities (2003)PORTFOLIO SELECTION* (1952)Making and Evaluating Point Forecasts (2011)The Sample Average Approximation Method for Stochastic Discrete Optimization (2002)Theory and Applications of Robust Optimization (2010)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Modeling and Forecasting Realized Volatility (2003)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)Lectures on Stochastic Programming: Modeling and Theory (2009)Quantitative Risk Management (2011)Impulse response analysis in nonlinear multivariate models (1996)Model-Based Geostatistics (1998)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
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References

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  • 2011Introduction to Stochastic Programming6,469 cited
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  • 2002Conditional value-at-risk for general loss distributions3,847 cited
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  • 1987Stochastic Simulation2,240 cited
  • 2010Stochastic Programming2,228 cited
  • 2002On the coherence of expected shortfall1,596 cited
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  • 2002Spectral measures of risk: A coherent representation of subjective risk aversion946 cited
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  • 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk770 cited
  • 2010Stochastic Linear Programming667 cited

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Cited by

  • 2012Mean–CVaR portfolio selection: A nonparametric estimation framework76 cited
  • 2013Optimization with Multivariate Conditional Value-at-Risk Constraints73 cited
  • 2006Solving two-stage stochastic programming problems with level decomposition64 cited
  • 2010An enhanced model for portfolio choice with SSD criteria: a constructive approach53 cited
  • 2009A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset51 cited
  • 2015Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time48 cited
  • 2016Robust two-stage stochastic linear optimization with risk aversion39 cited
  • 2010On solving the dual for portfolio selection by optimizing Conditional Value at Risk37 cited