Computational Management Science · 2005 · 95 citations · 25 references
BusinessEconomicsFinanceFinancial EconomicsOptimizationQuantitative FinanceOptimization Under UncertaintyRisk AversionRisk ModelingRisk OptimizationRobust OptimizationValue At RiskConditional Value-at-riskConditional Value-at-risk OptimizationMean-conditional Value At Risk OptimizationValue-at-risk EstimationValue-at-risk Optimization
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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
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Portfolio Selection: Efficient Diversification of Investments
Alan Stuart, Harry M. Markowitz · OR · 1959 · 5.6K citations