Mathematical Methods of Operations Research · 2006 · 130 citations · 14 references
BusinessFinanceMathematicsProbability TheoryStochastic ProcessesTime Series AnalysisMarket RiskMarkov ChainsMarkov ProcessesRisk MeasurementRisk TheoryVolatility ModelingDynamic Risk ChoiceTime ConsistencyTime-inconsistent Risk Preferences
14
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
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Portfolio Selection: Efficient Diversification of Investments
Alan Stuart, Harry M. Markowitz · OR · 1959 · 5.6K citations
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