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Modeling, Measuring and Managing Risk
0 references·16 citing·36 second hop
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  • 2010A framework for optimization under ambiguity112 cited
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  • 2016Time-Consistent Decisions and Temporal Decomposition of Coherent Risk Functionals66 cited
  • 2012Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics59 cited
  • 2011Multistage Stochastic Programming59 cited
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  • 2011Robustness in stochastic programs with risk constraints53 cited
  • 2018Quantile-based risk sharing with heterogeneous beliefs53 cited
  • 2014Strategic Network Design52 cited
  • 2010

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Multivariate value at risk and related topics
51 cited
  • 2015Time-inconsistent multistage stochastic programs: Martingale bounds45 cited