Insurance Mathematics and Economics · 2003 · 153 citations · 7 references
BusinessFinanceRisk ManagementFinancial EconomicsFinancial Risk ManagementQuantitative FinanceAsset AllocationFinancial RiskPortfolio TheoryRisk AllocationRisk MeasurementRisk-return AnalysisAsset Allocation Under RiskAsset Allocation Under UncertaintyCapital AllocationRisk-based Capital AllocationStochastic Asset Allocation
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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
Coherent allocation of risk capital
Michel Denault · The Journal of Risk · 2001 · 448 citations
Business, Finance, Risk Management +17
Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
Olivier Scaillet · Mathematical Finance · 2003 · 282 citations · Full text
Risk contributions and performance measurement
Dirk Tasche · 2000 · 271 citations
Business, Finance, Risk Management +17