European Journal of Operational Research · 2016 · 97 citations · 53 references
BusinessFinanceFinancial ManagementFinancial EconomicsInvestment ManagementPortfolio ManagementAsset AllocationInvestmentPortfolio OptimizationPortfolio Risk ManagementPortfolio SelectionPortfolio TheoryFuzzy Portfolio SelectionMulti-period Investment PlanningMulti-period Portfolio ChoicePortfolio Selection CriteriaPortfolio Selection Theory
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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
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
SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*
Alan Kraus, Robert H. Litzenberger · The Journal of Finance · 1976 · 1.5K citations