Concept

CVAR

OpenAlex ID: C2779922397

Optimization of conditional value-at-risk

2000 · R. Tyrrell Rockafellar, Stanislav Uryasev · The Journal of Risk · 6,711

Conditional value-at-risk for general loss distributions

2002 · R.Tyrrell Rockafellar, Stanislav Uryasev · Journal of Banking & Finance · 3,847

Portfolio optimization with conditional value-at-risk objective and constraints

2001 · Pavlo Krokhmal, tanislav Uryasev, et al. · The Journal of Risk · 781

Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk

2000 · Georg Ch. Pflug · Nonconvex optimization and its applications · 770

Distributionally robust joint chance constraints with second-order moment information

2011 · Steve Zymler, Daniel Kuhn, et al. · Mathematical Programming · 629

Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management

2009 · Shushang Zhu, Masao Fukushima · Operations Research · 510

Risk-averse two-stage stochastic programming with an application to disaster management

2011 · Nilay Noyan · Computers & Operations Research · 403

Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization

2008 · Sergey Sarykalin, Gaia Serraino, et al. · 389

PDF

Conditional value-at-risk: optimization algorithms and applications

2002 · S. Uryasev · IEEE Conference on Computational Intelligence for Financial Engineering & Economics · 382

Selection of resilient supply portfolio under disruption risks

2012 · Tadeusz Sawik · Omega · 357

Drawdown Measure in Portfolio Optimization

2005 · ALEXEI CHEKHLOV, STANISLAV URYASEV, et al. · International Journal of Theoretical and Applied Finance · 349

Constructing Uncertainty Sets for Robust Linear Optimization

2009 · Dimitris Bertsimas, David B. Brown · Operations Research · 343

A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model

2004 · Gordon J. Alexander, Alexandre M. Baptista · Management Science · 333

Technical Note—A Risk-Averse Newsvendor Model Under the CVaR Criterion

2009 · Youhua (Frank) Chen, Minghui Xu, et al. · Operations Research · 328

Value-at-risk in portfolio optimization: properties and computational approach

2005 · Alexei Gaivoronski, Georg Pflug · The Journal of Risk · 325

From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization

2009 · Wenqing Chen, Melvyn Sim, et al. · Operations Research · 318

Credit risk optimization with Conditional Value-at-Risk criterion

2001 · Fredrik Andersson, Helmut Mausser, et al. · Mathematical Programming · 295

Machine Learning and Portfolio Optimization

2016 · Gah-Yi Ban, Noureddine El Karoui, et al. · Management Science · 284

PDF

Entropic Value-at-Risk: A New Coherent Risk Measure

2011 · A. Ahmadi-Javid · Journal of Optimization Theory and Applications · 277

The Role of Bitcoin in Well Diversified Portfolios: A Comparative Global Study

2018 · Anton Kajtazi, Andrea Moro · International Review of Financial Analysis · 270

Newsvendor solutions via conditional value-at-risk minimization

2006 · Jun-ya Gotoh, Yuichi Takano · European Journal of Operational Research · 268

Improving Variational Quantum Optimization using CVaR

2020 · Panagiotis Kl. Barkoutsos, Giacomo Nannicini, et al. · Quantum · 264

PDF

Generalized quantiles as risk measures

2013 · Fabio Bellini, Bernhard Klar, et al. · Insurance Mathematics and Economics · 254

Design under uncertainty of hydrocarbon biorefinery supply chains: Multiobjective stochastic programming models, decomposition algorithm, and a Comparison between CVaR and downside risk

2012 · Berhane H. Gebreslassie, Yuan Yao, et al. · AIChE Journal · 253

An Improved OPA Model and Blackout Risk Assessment

2009 · Shengwei Mei, Fei He, et al. · IEEE Transactions on Power Systems · 251

Works count: 5,025

Citation count: 74,140