Utility maximization under a shortfall risk constraint
By Anne Gundel, Stefan Weber. 2008
48 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/36ad7dab36cac310d765cb99d59dd53b427b59cf
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Stanislav Uryasev
- Alexander Shapiro
- Amir Ahmadi-Javid
- Andrzej Ruszczynski
- C. Acerbi
- Guanghui Lan
- Dirk Tasche
- Darinka Dentcheva †
In Finance
- Alexander Shapiro
- Stanislav Uryasev
- Sergey Sarykalin
- Nilay Noyan
- C. Acerbi
- Andrzej Ruszczynski
- Pavlo A. Krokhmal
- Antonio J. Conejo
In Management Science and Operations Research
- Alexander Shapiro
- Stanislav Uryasev
- Andrzej Ruszczynski
- Guanghui Lan
- Arkadi Nemirovski
- Dimitris J. Bertsimas
- Darinka Dentcheva †
- Melvyn Sim
Citations in the corpus
- Financial prediction with constrained tail risk (2007, background): “Other recent noteworthy works on portfolio optimization under downside risk constraints include Basak and Shapiro (2001), Gabih et al. (2005) and Gundel and Weber (2005) .”