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A quantitative comparison of risk measures
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A quantitative comparison of risk measures (2017)A quantitative comparison of risk measuresMultistage Stochastic Optimization (2014)Multistage Stochastic Optimiz…Entropic Value-at-Risk: A New Coherent Risk Measure (2011)Entropic Value-at-Risk: A New…Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion (2011)Dynamic sampling algorithms f…Analysis of stochastic dual dynamic programming method (2010)Analysis of stochastic dual d…Lectures on Stochastic Programming (2009)Lectures on Stochastic Progra…Modeling, Measuring and Managing Risk (2007)Modeling, Measuring and Manag…Modeling, Measuring and Managing Risk (2007)Modeling, Measuring and Manag…Conditional Risk Mappings (2006)Conditional Risk MappingsCoherent multiperiod risk adjusted values and Bellman’s principle (2006)Coherent multiperiod risk adj…Generalized deviations in risk analysis (2005)Generalized deviations in ris…Optimization with Stochastic Dominance Constraints (2003)Optimization with Stochastic …Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Spectral measures of risk: A …On law invariant coherent risk measures (2001)On law invariant coherent ris…Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk (2000)Some Remarks on the Value-at-…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Insurance pricing and increased limits ratemaking by proportional hazards transforms (1995)Insurance pricing and increas…Coherent Measures of Risk (1999)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Expected Shortfall: A Natural Coherent Alternative to Value at Risk (2002)Coherent Risk Measures on General Probability Spaces (2002)Expected shortfall and beyond (2002)Higher order elicitability and Osband’s principle (2016)Frameworks and Results in Distributionally Robust Optimization (2022)Theory of Games and Economic Behavior (1945)Portfolio optimization with stochastic dominance constraints (2005)Introduction to Stochastic Programming (2011)Monte Carlo sampling-based methods for stochastic optimization (2014)The Simple Economics of Optimal Persuasion (2017)Theory of games and economic behavior (2019)Maxmin expected utility with non-unique prior (1989)Convex measures of risk and trading constraints (2002)Conditional and dynamic convex risk measures (2005)Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)Risk measures via -expectations (2006)Lectures on Stochastic Programming: Modeling and Theory (2009)A unified framework for stochastic optimization (2018)Stochastic dual dynamic integer programming (2018)Conditional value-at-risk for general loss distributions (2002)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)PORTFOLIO SELECTION* (1952)Optimization of Convex Risk Functions (2006)A Robust Optimization Perspective on Stochastic Programming (2007)Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization (2008)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Insurance Risk and Ruin (2005)Risk measures and comonotonicity (2006)New Measures for Performance Evaluation (2008)A Sampling-and-Discarding Approach to Chance-Constrained Optimization: Feasibility and Optimality (2010)A Guide to Sample Average Approximation (2014)Data-driven chance constrained stochastic program (2015)
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References

  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2009Lectures on Stochastic Programming1,419 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
  • 2001On law invariant coherent risk measures676 cited
  • 2005Generalized deviations in risk analysis572 cited
  • 2010Analysis of stochastic dual dynamic programming method438 cited
  • 2006Coherent multiperiod risk adjusted values and Bellman’s principle409 cited
  • 2003Optimization with Stochastic Dominance Constraints369 cited
  • 1995Insurance pricing and increased limits ratemaking by proportional hazards transforms338 cited
  • 2007Modeling, Measuring and Managing Risk326 cited
  • 2011Entropic Value-at-Risk: A New Coherent Risk Measure277 cited
  • 2014Multistage Stochastic Optimization260 cited
  • 2006Conditional Risk Mappings251 cited
  • 2011Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion210 cited
  • 2007Modeling, Measuring and Managing Risk

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