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Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization

6 references·2 citing·24 second hop

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References

1999Coherent Measures of Risk8,849 cited
2000Optimization of conditional value-at-risk6,711 cited
2002Conditional value-at-risk for general loss distributions3,847 cited
2001Portfolio optimization with conditional value-at-risk objective and constraints781 cited
2002Conditional value-at-risk: optimization algorithms and applications382 cited
2001Credit risk optimization with Conditional Value-at-Risk criterion295 cited

Cited by

2009On efficient WOWA optimization for decision support under risk64 cited
2009A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset51 cited

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