Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Spectral risk measures and portfolio selection

16 references·13 citing·26 second hop

FromToDepth

this work references cited by second hop

References

1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
1988Prospect theory: An analysis of decision under risk32,475 cited
1952PORTFOLIO SELECTION*13,480 cited
1999Coherent Measures of Risk8,849 cited
2000Optimization of conditional value-at-risk6,711 cited
2002Conditional value-at-risk for general loss distributions3,847 cited
1987The Dual Theory of Choice under Risk2,426 cited
2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
2002On the coherence of expected shortfall1,596 cited
1992Survivorship Bias in Performance Studies1,118 cited
2002Spectral measures of risk: A coherent representation of subjective risk aversion946 cited
2002Coherent Risk Measures on General Probability Spaces753 cited
2000A Class of Distortion Operators for Pricing Financial and Insurance Risks650 cited
2002The concept of comonotonicity in actuarial science and finance: theory634 cited
2005Actuarial Theory for Dependent Risks

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

536 cited

Cited by

2020Diversification and portfolio theory: a review105 cited
2008Two-sided coherent risk measures and their application in realistic portfolio optimization77 cited
2018On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles76 cited
2009Risk factor contributions in portfolio credit risk models73 cited
2009Distortion Risk Measures in Portfolio Optimization58 cited
2022COVID‐19 crisis and risk spillovers to developing economies: Evidence from Africa55 cited
2013Conditional Value-at-Risk, spectral risk measures and (non-)diversification in portfolio selection problems – A comparison with mean–variance analysis49 cited
2014A linear risk-return model for enhanced indexation in portfolio optimization45 cited
2012Downside risk and the energy hedger's horizon44 cited
2010An advanced perspective on the predictability in hedge fund returns28 cited
2020Supporting a financially constrained supplier under spectral risk measures: The efficiency of buyer lending25 cited
2020Optimal ordering policy for complementary components with partial backordering and emergency replenishment under spectral risk measure18 cited
2019The supplier's optimal guarantee policy in newsvendor finance16 cited