ALGORITHMS FOR OPTIMIZATION OF VALUE­ AT-RISK*

By Nicklas Larsen, Helmut E. Mausser, Stanislav Uryasev. 2002

133 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/0e7bbe06da8d751914e3cc2628d907c16227918d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. David McInerney
2. Klaus Keller
3. Robert J. Lempert
4. tanislav Uryasev
5. Jonas Palmquist
6. Pavlo A. Krokhmal
7. Sergey Sarykalin

In Management Science and Operations Research

1. Klaus Keller
2. David McInerney
3. Robert J. Lempert
4. tanislav Uryasev
5. Jonas Palmquist
6. Pavlo A. Krokhmal
7. Sergey Sarykalin

Citations in the corpus

• Portfolio optimization with conditional value-at-risk objective and constraints (2001, background): “The first constraint (29) is the budget constraint; (30) requires portfolio’s expected return to be equal to a prescribed value rp; finally, (31) imposes bounds on portfolio weights, where νi are the same as in (23).”
• Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization (2008, methodology): “[9] suggested two heuristic algorithms for optimization of VaR.”
• What are robust strategies in the face of uncertain climate threshold responses? (2012, background): “…the limited degree of confidence criterion as originally discussed, for example, by Lange (2003) by replacing the minimum value metric with the CVaR metric and implementing a typical value of q = 0.01 (Andersson et al. 2001; Larsen et al. 2002; Krokhmal et al. 2002): max {βE[W] + (1 − β)E[W0.”