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On the global minimization of the value-at-risk
10 references·2 citing·33 second hop
On the global minimization of the value-at-risk (2004)On the global minimization of the value-a…Deviation Measures in Risk Analysis and Optimization (2003)Deviation Measures in Risk An…Financial Engineering, E-commerce and Supply Chain (2002)Financial Engineering, E-comm…Dual Stochastic Dominance and Related Mean-Risk Models (2002)Dual Stochastic Dominance and…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Algorithms for Optimization of Value-at-Risk (2002)Algorithms for Optimization o…A Global Optimization Heuristic for Portfolio Choice with VaR and Expected Shortfall (2002)A Global Optimization Heurist…Portfolio optimization with conditional value-at-risk objective and constraints (2001)Portfolio optimization with c…Credit risk optimization with Conditional Value-at-Risk criterion (2001)Credit risk optimization with…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…Nonlinear portfolio selection using approximate parametric Value-at-Risk (2013)Nonlinear portfolio selection…VaR optimal portfolio with transaction costs (2011)VaR optimal portfolio with tr…Coherent Measures of Risk (1999)Expected Shortfall: A Natural Coherent Alternative to Value at Risk (2002)Generalized deviations in risk analysis (2005)Computational aspects of minimizing conditional value-at-risk (2005)A data-driven optimization heuristic for downside risk minimization (2006)Introduction to Stochastic Programming (2011)What are robust strategies in the face of uncertain climate threshold responses? (2012)PORTFOLIO SELECTION* (1952)Safety First and the Holding of Assets (1952)Optimal portfolio selection for the small investor considering risk and transaction costs (2008)Filtered extreme‐value theory for value‐at‐risk estimation: evidence from Turkey (2010)A Novel Portfolio Optimization Model Based on Trend Ratio and Evolutionary Computation (2018)Stochastic Programming (1995)Probabilistic Programming (2003)Conditional value at risk and related linear programming models for portfolio optimization (2006)Twenty years of linear programming based portfolio optimization (2013)Stochastic Programming Models (2003)Optimization of Convex Risk Functions (2006)Risk-averse two-stage stochastic programming with an application to disaster management (2011)American Economic Review (2019)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)Constructing Risk Measures from Uncertainty Sets (2009)Modeling and optimization of risk (2010)The fundamental risk quadrangle in risk management, optimization and statistical estimation (2013)On the coherence of expected shortfall (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)Conditional value-at-risk: optimization algorithms and applications (2002)A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model (2004)Monte Carlo sampling-based methods for stochastic optimization (2014)Time Consistent Dynamic Risk Measures (2006)Risk-averse optimization of disaster relief facility location and vehicle routing under stochastic demand (2020)
this work references cited by second hop

References

  • 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
  • 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk770 cited
  • 2002Dual Stochastic Dominance and Related Mean-Risk Models496 cited
  • 2001Credit risk optimization with Conditional Value-at-Risk criterion295 cited
  • 2003Deviation Measures in Risk Analysis and Optimization188 cited
  • 2002Financial Engineering, E-commerce and Supply Chain114 cited
  • 2002Algorithms for Optimization of Value-at-Risk104 cited
  • 2002A Global Optimization Heuristic for Portfolio Choice with VaR and Expected Shortfall63 cited

Cited by

  • 2011VaR optimal portfolio with transaction costs39 cited
  • 2013Nonlinear portfolio selection using approximate parametric Value-at-Risk39 cited

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