Omega · 2020 · 18 citations · 36 references
BusinessEconomicsFinanceFinancial EconomicsOptimizationPortfolio ManagementAsset AllocationConvex OptimizationGlobal OptimizationPortfolio OptimizationPortfolio SelectionPortfolio TheoryBilevel OptimizationGlobal Portfolio OptimizationMulti-objective Portfolio SelectionOptimal Portfolio Choice
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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
Business, Finance, Risk Management +17
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