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Minimizing CVaR and VaR for a portfolio of derivatives
9 references·16 citing·36 second hop
Minimizing CVaR and VaR for a portfolio of derivatives (2005)Minimizing CVaR and VaR for a portfolio o…Risk measures for the 21st century (2004)Risk measures for the 21st ce…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk (2000)Some Remarks on the Value-at-…Probabilistic constrained optimization : methodology and applications (2000)Probabilistic constrained opt…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Coherent Measures of Risk (1999)Coherent Measures of RiskAn Overview of Value at Risk (1997)An Overview of Value at RiskHEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 (1996)HEDGING AND PORTFOLIO OPTIMIZ…Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…Does green improve portfolio optimisation? 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this work references cited by second hop

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
  • 1997An Overview of Value at Risk1,320 cited
  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk770 cited
  • 2004Risk measures for the 21st century329 cited
  • 1996HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12317 cited
  • 2000Probabilistic constrained optimization : methodology and applications257 cited

Cited by

  • 2020Assessment of pre and post-disaster supply chain resilience based on network structural parameters with CVaR as a risk measure189 cited
  • 2014Reverse logistics network design and planning utilizing conditional value at risk182 cited
  • 2010Modeling and optimization of risk168 cited
  • 2008Optimal reinsurance with general risk measures130 cited
  • 2012What are robust strategies in the face of uncertain climate threshold responses?125 cited
  • 2013Incorporating risk measures in closed-loop supply chain network design

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

113 cited
  • 2019Portfolio optimization with entropic value-at-risk94 cited
  • 2014Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk91 cited
  • 2010Manufacturer’s return policy in a two-stage supply chain with two risk-averse retailers and random demand90 cited
  • 2021Deep graph convolutional reinforcement learning for financial portfolio management – DeepPocket83 cited
  • 2019Project portfolio selection and scheduling optimization based on risk measure: a conditional value at risk approach71 cited
  • 2023Does green improve portfolio optimisation?62 cited
  • 2008Single and multi-period optimal inventory control models with risk-averse constraints59 cited
  • 2016A Signal Processing Perspective on Financial Engineering59 cited
  • 2022Construction of stock portfolios based on k-means clustering of continuous trend features46 cited
  • 2017Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time45 cited