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Cited by

• 2002Algorithms for Optimization of Value-at-Risk104 cited
• 2002A Global Optimization Heuristic for Portfolio Choice with VaR and Expected Shortfall63 cited
• 2002Tail estimation and mean–VaR portfolio selection in markets subject to financial instability60 cited
• 2001Rethinking Risk in International Financial Markets56 cited
• 2007What History Can Teach Us About the Future Costs of U.S. Nuclear Power47 cited
• 2002VAR risk measures vs traditional risk measures: an analysis and survey43 cited
• 2002Portfolio Optimization with Constraints on Tracking Error41 cited
• 2003Applying Operations Research Techniques to Financial Markets35 cited
• 2008Dynamic Copula Modelling for Value at Risk35 cited
• 2000Introduction to the Theory of Probabilistic Functions and Percentiles (Value-at-Risk)35 cited
• 2000A Note on Optimal Estimation From a Risk-Management Perspective Under Possibly Misspecified Tail Behavior30 cited
• 2009Evaluating portfolio Value-at-Risk using semi-parametric GARCH models29 cited
• 2007Measuring and Controlling Shortfall Risk in Retirement18 cited