Conditional value at risk and related linear programming models for portfolio optimization
By Renata Mansini, Wlodzimierz Ogryczak, M. Speranza. Annals of Operations Research, 2007
312 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/57a12b2cfe6f40255fa44f04a82aca7fd34ea7f9
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
- Michael Zabarankin
- Stanislav Uryasev
- R. Tyrrell Rockafellar
- Shushang Zhu
- Xiangyu Cui
- M. Speranza
- Renata Mansini
- Shouyang Wang
In Finance
- Michael Zabarankin
- Stanislav Uryasev
- R. Tyrrell Rockafellar
- Shushang Zhu
- M. Speranza
- Renata Mansini
- Xiangyu Cui
- Shouyang Wang
In Management Science and Operations Research
- Stanislav Uryasev
- Michael Zabarankin
- R. Tyrrell Rockafellar
- Shushang Zhu
- Shouyang Wang
- M. Speranza
- Renata Mansini
- Xiangyu Cui
Citations in the corpus
- Optimal reinsurance with general risk measures (2009, unknown): “…the capital allocation problem, Carr et al. (2001) and Nakano (2004) draw on risk measures to price in incomplete markets, Basak and Shapiro (2001), Mansini et al. (2007) and Schied (2007) deal with risk management, portfolio choice and optimal investment, and Alexander et al. (2006) compare the…”
- Master Funds in Portfolio Analysis with General Deviation Measures (2006, unknown): “The weak-inequality version has recently been dubbed “risk relevance” in [14].”
- An exact approach for portfolio selection with transaction costs and rounds (2005, background): “For a complete theoretical and computational comparison of these models, and of the corresponding risk measures, we refer to Mansini et al. (2003a, 2003b) and to the references therein, and in the following we will only cite some of these models.”
- Portfolio selection models: a review and new directions (2009, unknown): “Enhanced CVaR measures were proposed in [24].”
- Generalized deviations in risk analysis (2006, methodology): “Risk measures of the special worst-case CVaR type in (31) have recently been utilized in [14].”
- BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM (2012, background): “…criterion (Markowitz 1952; Stefani and Szegö 1976), mean-Gini measure (Shalit and Yitzhaki 1984), measure of absolute deviation (Konno and Yamazaki 1991; Zenios and Kang 1993; Speranza 1993), value-at-risk (VaR) (Duffie and Pan 1997), and conditional value-at-risk (CVaR) (Bawa 1978; Uryasev 2000).”