Concepedia

Value-at-risk Optimization

Value-At-Risk Optimization is a stochastic optimization framework that belongs to the class of risk-averse decision-making models, specifically distinguished by its objective to minimize the maximum loss exposure at a given confidence level under probabilistic uncertainty.

190

Publications

23.9K

Citations

407

Authors

252

Institutions

Publications per year

2017–2026

62

Variants

Var Optimization

Parents

Publications

190

Optimization of conditional value-at-risk

R. T. Rockafellar, Stan Uryasev · The Journal of Risk · 2000 · 6.5K citations

, , +17

Conditional value-at-risk for general loss distributions

R. T. Rockafellar, Stan Uryasev · Journal of Banking & Finance · 2002 · 3.7K citations

, , +14

Convex measures of risk and trading constraints

Hans Föllmer, Alexander Schied · Finance and Stochastics · 2002 · 1.5K citations

, , +14

Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices

Suleyman Basak, Alexander Shapiro · Review of Financial Studies · 2001 · 872 citations

, , +17

Portfolio optimization with conditional value-at-risk objective and constraints

Pavlo A. Krokhmal, tanislav Uryasev, Jonas Palmquist · The Journal of Risk · 2001 · 778 citations

, , +17

1–5 of 190

Authors

407

  1. SU
    Stan Uryasev

    University of Florida, United States

    10 publications · 11.8K citations

    10

    h-index

  2. RT
    R. T. Rockafellar

    University of Washington, United States

    4 publications · 10.8K citations

    4

    h-index

  3. MX
    Minghui Xu

    Wuhan University, China

    4 publications · 401 citations

    4

    h-index

  4. SM
    Shie Mannor

    Technion – Israel Institute of Technology, Israel

    4 publications · 308 citations

    4

    h-index

  5. AT
    Aviv Tamar

    Technion – Israel Institute of Technology, Israel

    4 publications · 308 citations

    4

    h-index

1–5 of 407

Institutions

252

  1. University of Florida

    Gainesville, United States

    10 h-index

    13 publications

    7.6K citations

  2. University of Hong Kong

    Pok Fu Lam, Hong Kong

    6 h-index

    7 publications

    288 citations

  3. New York University

    New York, United States

    5 h-index

    7 publications

    1.2K citations

  4. City University of Hong Kong

    Hong Kong, Hong Kong

    5 h-index

    6 publications

    398 citations

  5. National University of Singapore

    Singapore, Singapore

    5 h-index

    11 publications

    619 citations

  6. Chinese University of Hong Kong

    Hong Kong, Hong Kong

    4 h-index

    4 publications

    510 citations

  7. Hong Kong Polytechnic University

    Hong Kong, Hong Kong

    4 h-index

    5 publications

    190 citations

  8. University of Minnesota

    Minneapolis, United States

    4 h-index

    4 publications

    260 citations

1–8 of 252

Venues

  1. SSRN Electronic Journal

    Repository · 14 publications · 1.1K citations

    12

    h-index

  2. European Journal of Operational Research

    9 publications · 532 citations

    9

    h-index

  3. arXiv (Cornell University)

    Repository · 9 publications · 354 citations

    9

    h-index

  4. Operations Research

    7 publications · 1.1K citations

    7

    h-index

  5. SIAM Journal on Optimization

    7 publications · 386 citations

    7

    h-index

1–5