International Journal of Production Economics · 2015 · 66 citations · 45 references
Social SciencesBusiness EconomicsEconomicsDecision TheoryFinancial EconomicsOptimizationConvex AnalysisOptimal ControlOptimization In EconomicsOptimization TheoryRisk AversionStochastic OptimizationCvar OptimizationMean-cvar OptimizationMinimax Decision MakingOptimal Decision TheoryValue-at-risk Optimization
45
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
Matthew Rabin · eScholarship (California Digital Library) · 1997 · 2.4K citations · Full text