Shortfall as a risk measure: properties, optimization and applications

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Risk Aversion in Inventory Management (2007, background): “VaR does not preserve the property of subadditivity (see [24, 3 ]).”
ON A CONVEX MEASURE OF DRAWDOWN RISK (2014, unknown): “Using the fact that the partial derivative with respect to the quantile DTα is zero, as discussed by Bertsimas et al. (2004), Formula 4 simplifies to:”
Robust portfolio selection under downside risk measures (2009, background): “…measure and Conditional VaR (CVaR) which has gained much attention in recent years due to its convenience in computation and its coherent properties for measuring risk (Artzner et al. 1999, Rockafellar and Uryasev 2000, 2002, Acerbi and Tasche 2002, Testuri and Uryasev 2003, Bertsimas et al. 2004).”
Constructing Uncertainty Sets for Robust Linear Optimization (2009, background): “This is a very clear ambiguity interpretation and is the crucial idea as we attempt to construct uncertainty sets in a robust optimization framework from a given coherent risk measure.”
Expected shortfall and beyond (2002, methodology): “Representation (4) was given by Bertsimas et al. (2000) for continuous”
On Ensuring that Intelligent Machines Are Well-Behaved (2017, methodology): “, using soft constraints [Boyd and Vandenberghe, 2004] and robust and risk-sensitive approaches [Bertsimas et al., 2004]) requires extensive domain knowledge or additional data analysis to properly balance the relative importance of the primary objective function and the constraints.”