Mathematical Programming · 2005 · 49 citations · 13 references
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Philippe Artzner, Freddy Delbaen, Jean‐Marc Eber et al. · Mathematical Finance · 1999 · 9K citations · Full text
Business, Finance, Risk Management +14
Optimization of conditional value-at-risk
R. T. Rockafellar, Stan Uryasev · The Journal of Risk · 2000 · 6.5K citations
Business, Finance, Risk Management +17
Conditional value-at-risk for general loss distributions
R. T. Rockafellar, Stan Uryasev · Journal of Banking & Finance · 2002 · 3.7K citations
Business, Finance, Risk Management +14
Smooth minimization of non-smooth functions
Yu. Nesterov · Mathematical Programming · 2004 · 2.6K citations
On the coherence of expected shortfall
Carlo Acerbi, Dirk Tasche · Journal of Banking & Finance · 2002 · 1.6K citations
Business, Finance, Risk Management +17