Properties and comparison of risk capital allocation methods

Coherent Measures of Risk

Philippe Artzner, Freddy Delbaen, Jean‐Marc Eber et al. · Mathematical Finance · 1999 · 8.9K citations

Empirical Finance, Financial Risk Management, Risk Metric +22

The Variation of Certain Speculative Prices

Benoît B. Mandelbrot · The Journal of Business · 1963 · 4.6K citations

Engineering, Price Behavior, Financial Mathematics +16

Empirical properties of asset returns: stylized facts and statistical issues

Rama Cont · Quantitative Finance · 2001 · 3K citations

The Nucleolus of a Characteristic Function Game

David Schmeidler · SIAM Journal on Applied Mathematics · 1969 · 1.9K citations

On the coherence of expected shortfall

Carlo Acerbi, Dirk Tasche · Journal of Banking & Finance · 2002 · 1.6K citations

Expectation Formation, Engineering, Entropy +2