Mathematical Programming · 2009 · 100 citations · 37 references
BusinessComputer ScienceIndustrial EngineeringDecision AnalysisStochastic ModelingStochastic ProcessesDominance HierarchiesStochastic DominanceStochastic OptimizationFirst-order Stochastic DominanceSecond-order Stochastic DominanceStochastic Dominance AnalysisStochastic Dominance Rules
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Optimization of conditional value-at-risk
R. T. Rockafellar, Stan Uryasev · The Journal of Risk · 2000 · 6.5K citations
Business, Finance, Risk Management +17
Harry M. Markowitz · The Journal of Finance · 1952 · 4.5K citations
Theory of Games and Economic Behavior
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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
Theory of Games and Economic Behavior
E. ROWLAND · Nature · 1946 · 3.3K citations