Approximating exact expected utility via portfolio efficient frontiers

Optimization of conditional value-at-risk

R. T. Rockafellar, Stan Uryasev · The Journal of Risk · 2000 · 6.5K citations

Business, Finance, Risk Management +17

Liquidity Preference as Behavior Towards Risk

James Tobin · The Review of Economic Studies · 1958 · 3.9K citations

Business, Economics, Finance +11

On the coherence of expected shortfall

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

Business, Finance, Risk Management +17

Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market

Hiroshi Konno, Hiroaki Yamazaki · Management Science · 1991 · 1.5K citations

Business, Economics, Finance +15

Approximating Expected Utility by a Function of Mean and Variance

Haim Levy, H M Markowtiz · American Economic Review · 1979 · 899 citations

Social Sciences, Economics, Finance +17