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References

1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
1952Portfolio Selection4,609 cited
1998Arbitrage Theory in Continuous Time1,267 cited
1996Value at risk: the new benchmark for controlling market risk1,018 cited
2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices834 cited
1998Beyond Value at Risk: The New Science of Risk Management489 cited

2010Optimal investment–reinsurance policy for an insurance company with VaR constraint91 cited
2008Time-inconsistency of VaR and time-consistent alternatives69 cited
2010Optimal portfolios with regime switching and value-at-risk constraint66 cited
2016Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints66 cited
2006Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach65 cited
2018Optimal investment–reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets62 cited
2008Portfolio value-at-risk forecasting with GA-based extreme value theory54 cited

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2015

48 cited