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DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
16 references·10 citing·31 second hop
DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY (2008)DESIRABLE PROPERTIES OF AN IDEAL RISK MEA…RiskMetrics Technical Document (2015)RiskMetrics Technical DocumentReview of Economic Studies (2010)Review of Economic StudiesGeneralized deviations in risk analysis (2005)Generalized deviations in ris…Risk measures for the 21st century (2004)Risk measures for the 21st ce…Defining Risk (2004)Defining RiskSpectral measures of risk: A coherent representation of subjective risk aversion (2002)Spectral measures of risk: A …Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Stable Paretian Models in Finance (2000)Stable Paretian Models in Fin…Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk (2000)Some Remarks on the Value-at-…Coherent Measures of Risk (1999)Coherent Measures of RiskG.Samorodnitsky,M.S.Taqqu:Stable non-Gaussian Random Processes--Stochastic Models with Infinite Variance (1996)G.Samorodnitsky,M.S.Taqqu:Sta…The Sharpe Ratio (1994)The Sharpe RatioThe Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Safety First and Hedging (1955)Safety First and HedgingSafety First and the Holding of Assets (1952)Safety First and the Holding …The Utility Analysis of Choices Involving Risk (1948)The Utility Analysis of Choic…Basic Geometric Dispersion Theory of Decision Making Under Risk: Asymmetric Risk Relativity, New Predictions of Empirical Behaviors, and Risk Triad (2021)Basic Geometric Dispersion Th…A decision model based on expected utility, entropy and variance (2020)A decision model based on exp…A simulation comparison of risk measures for portfolio optimization (2017)A simulation comparison of ri…Risk-Averse Multi-Armed Bandit Problems Under Mean-Variance Measure (2016)Risk-Averse Multi-Armed Bandi…Omega-CVaR Portfolio Optimization and Its Worst Case Analysis (2016)Omega-CVaR Portfolio Optimiza…Particle Swarm Optimization with non-smooth penalty reformulation, for a complex portfolio selection problem (2013)Particle Swarm Optimization w…One-size or tailor-made performance ratios for ranking hedge funds? (2011)One-size or tailor-made perfo…Distortion Risk Measures in Portfolio Optimization (2009)Distortion Risk Measures in P…Two-sided coherent risk measures and their application in realistic portfolio optimization (2008)Two-sided coherent risk measu…THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY (2005)THE PROPER USE OF RISK MEASUR…Optimization of conditional value-at-risk (2000)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Expected Shortfall: A Natural Coherent Alternative to Value at Risk (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Rules for Ordering Uncertain Prospects (1969)On the measurement of inequality (1970)Optimal rules for ordering uncertain prospects (1975)Stochastic Dominance and Expected Utility: Survey and Analysis (1992)Modern Portfolio Theory and Investment Analysis. (1982)The Statistics of Sharpe Ratios (2002)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)PORTFOLIO SELECTION* (1952)On the coherence of expected shortfall (2002)Making and Evaluating Point Forecasts (2011)On the Measurement of Poverty (1987)An Engine, Not a Camera (2006)Bank activity and funding strategies: The impact on risk and returns☆ (2010)Toward a positive theory of consumer choice (1980)Prospect theory: An analysis of decision under risk (1988)Risk as feelings. (2001)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Frameworks and Results in Distributionally Robust Optimization (2022)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Why is There so Little Money in U.S. Politics? (2003)Belief in a Just World and Redistributive Politics (2006)Measuring Market Risk (2005)Institutional Investors and Stock Market Volatility (2006)The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series (2016)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 1948The Utility Analysis of Choices Involving Risk3,097 cited
  • 2010Review of Economic Studies2,967 cited
  • 1994The Sharpe Ratio2,542 cited
  • 1952Safety First and the Holding of Assets2,537 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 2002Spectral measures of risk: A coherent representation of subjective risk aversion946 cited
  • 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk770 cited
  • 2000Stable Paretian Models in Finance718 cited
  • 2015RiskMetrics Technical Document661 cited
  • 2005Generalized deviations in risk analysis572 cited
  • 1996G.Samorodnitsky,M.S.Taqqu:Stable non-Gaussian Random Processes--Stochastic Models with Infinite Variance559 cited
  • 1955Safety First and Hedging341 cited
  • 2004Defining Risk336 cited
  • 2004Risk measures for the 21st century329 cited

Cited by

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  • 2016Risk-Averse Multi-Armed Bandit Problems Under Mean-Variance Measure86 cited
  • 2008Two-sided coherent risk measures and their application in realistic portfolio optimization77 cited
  • 2005THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY74 cited
  • 2013Particle Swarm Optimization with non-smooth penalty reformulation, for a complex portfolio selection problem62 cited
  • 2009Distortion Risk Measures in Portfolio Optimization58 cited
  • 2017A simulation comparison of risk measures for portfolio optimization55 cited
  • 2016Omega-CVaR Portfolio Optimization and Its Worst Case Analysis51 cited
  • 2011One-size or tailor-made performance ratios for ranking hedge funds?33 cited
  • 2020A decision model based on expected utility, entropy and variance7 cited
  • 2021Basic Geometric Dispersion Theory of Decision Making Under Risk: Asymmetric Risk Relativity, New Predictions of Empirical Behaviors, and Risk Triad2 cited