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Index tracking and enhanced indexing using mixed conditional value-at-risk
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Index tracking and enhanced indexing using mixed conditional value-at-risk (2017)Index tracking and enhanced indexing usin…Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management (2009)Worst-Case Conditional Value-…Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization (2008)Value-at-Risk vs. Conditional…On the coherence of expected shortfall (2002)On the coherence of expected …Dual Stochastic Dominance and Related Mean-Risk Models (2002)Dual Stochastic Dominance and…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…A Universal Performance Measure (2002)A Universal Performance Measu…Portfolio optimization with conditional value-at-risk objective and constraints (2001)Portfolio optimization with c…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…Coherent Measures of Risk (1999)Coherent Measures of RiskThe Sharpe Ratio (1994)The Sharpe RatioPerformance Measurement in a Downside Risk Framework (1994)Performance Measurement in a …A Mean/Variance Analysis of Tracking Error (1992)A Mean/Variance Analysis of T…Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…How to Use Security Analysis to Improve Portfolio Selection (1973)How to Use Security Analysis …PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Modern Portfolio Theory and Investment Analysis. (1982)From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)Heuristics for cardinality constrained portfolio optimisation (2000)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)On Estimating the Expected Return on the Market: An Exploratory Investigation (1980)Performance measurement with the arbitrage pricing theory (1986)The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds vs. Pension Funds (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Lectures on Stochastic Programming: Modeling and Theory (2009)Quantitative Risk Management (2011)A Brief History of Downside Risk Measures (1999)Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance (2008)Portfolio selection with higher moments (2010)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)Making and Evaluating Point Forecasts (2011)Conditional value-at-risk: optimization algorithms and applications (2002)A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model (2004)Monte Carlo sampling-based methods for stochastic optimization (2014)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 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
  • 1994The Sharpe Ratio2,542 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 1994Performance Measurement in a Downside Risk Framework899 cited
  • 1973How to Use Security Analysis to Improve Portfolio Selection822 cited
  • 2001Portfolio optimization with conditional value-at-risk objective and constraints781 cited
  • 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk770 cited
  • 1992A Mean/Variance Analysis of Tracking Error747 cited
  • 2002A Universal Performance Measure590 cited
  • 2009Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management510 cited
  • 2002Dual Stochastic Dominance and Related Mean-Risk Models496 cited
  • 2008Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization

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