Concepedia

Mean-cvar Optimization

Mean-CVaR Optimization is a portfolio optimization method that belongs to the class of risk-return models, differing from its counterparts by explicitly minimizing Conditional Value-at-Risk (CVaR) as a measure of tail risk while maximizing expected return under a given confidence level.

66

Publications

2.4K

Citations

177

Authors

101

Institutions

Publications per year

2017–2026

30

Parents

Publications

66

Mean-risk models using two risk measures: a multi-objective approach

Diana Roman, Kenneth Darby-Dowman, Gautam Mitra · Quantitative Finance · 2007 · 122 citations · Full text

, , +17

Handling CVaR objectives and constraints in two-stage stochastic models

Csaba I. Fábián · European Journal of Operational Research · 2007 · 98 citations

, , +13

A risk-averse competitive newsvendor problem under the CVaR criterion

Meng Wu, Stuart X. Zhu, Ruud Teunter · International Journal of Production Economics · 2014 · 90 citations · Full text

, , +14

A risk-averse and buyer-led supply chain under option contract: CVaR minimization and channel coordination

Yinghua Fan, Yi Feng, Yongyi Shou · International Journal of Production Economics · 2019 · 87 citations

, , +17

Two-stage distributionally robust programming based on worst-case mean-CVaR criterion and application to disaster relief management

Weiqiao Wang, Kai Yang, Lixing Yang et al. · Transportation Research Part E Logistics and Transportation Review · 2021 · 85 citations

, , +14

1–5 of 66

Authors

177

  1. GM
    Gautam Mitra

    Brunel University of London, United Kingdom

    2 publications · 133 citations

    2

    h-index

  2. MG
    Mark Goh

    National University of Singapore, Singapore

    2 publications · 31 citations

    2

    h-index

  3. WW
    Wing‐Keung Wong

    Asia University, Taiwan

    2 publications · 104 citations

    2

    h-index

  4. JG
    Jianjun Gao

    Shanghai Jiao Tong University, China

    2 publications · 59 citations

    2

    h-index

  5. JS
    Jie Sun

    National University of Singapore, Singapore

    2 publications · 31 citations

    2

    h-index

1–5 of 177

Institutions

101

  1. Chinese University of Hong Kong

    Hong Kong, Hong Kong

    4 h-index

    5 publications

    218 citations

  2. National University of Singapore

    Singapore, Singapore

    3 h-index

    8 publications

    118 citations

  3. Hebei University

    Baoding, China

    3 h-index

    9 publications

    252 citations

  4. Shanghai Jiao Tong University

    Shanghai, China

    3 h-index

    4 publications

    83 citations

  5. Xi'an Jiaotong University

    Xi'an, China

    3 h-index

    10 publications

    357 citations

  6. University of South Australia

    Adelaide, Australia

    3 h-index

    3 publications

    57 citations

  7. Hong Kong Polytechnic University

    Hong Kong, Hong Kong

    3 h-index

    3 publications

    172 citations

  8. University of Florida

    Gainesville, United States

    2 h-index

    3 publications

    104 citations

1–8 of 101

Venues

  1. European Journal of Operational Research

    6 publications · 322 citations

    6

    h-index

  2. International Journal of Production Economics

    6 publications · 335 citations

    6

    h-index

  3. Annals of Operations Research

    4 publications · 153 citations

    4

    h-index

  4. Risks

    2 publications · 32 citations

    2

    h-index

  5. Quantitative Finance

    2 publications · 177 citations

    2

    h-index

1–5