Higher moment coherent risk measures

By Pavlo A. Krokhmal. 2007

142 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/726839375c394ffcbdd8054ed7841fb147a36332

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

1. Darinka Dentcheva †
2. Andrzej Ruszczynski
3. Stanislav Uryasev
4. Spiridon I. Penev
5. R. Tyrrell Rockafellar
6. Gautam Mitra
7. Diana Roman
8. C. Acerbi

In Finance

1. Darinka Dentcheva †
2. Andrzej Ruszczynski
3. Stanislav Uryasev
4. R. Tyrrell Rockafellar
5. Spiridon I. Penev
6. Alexander Shapiro
7. Antonio J. Conejo
8. Gautam Mitra

In Management Science and Operations Research

1. Darinka Dentcheva †
2. Andrzej Ruszczynski
3. Stanislav Uryasev
4. R. Tyrrell Rockafellar
5. Alexander Shapiro
6. Spiridon I. Penev
7. Pavlo A. Krokhmal
8. Gautam Mitra

Citations in the corpus

• The fundamental risk quadrangle in risk management, optimization and statistical estimation (2013, background): “For this and other properties, see [8].”
• Statistical estimation of composite risk functionals and risk optimization problems (2015, methodology): “These risk measures are used for portfolio optimization in [18], where their advantages in in comparison to the classical mean-variance optimization model of Markowitz ([20, 21]) is demonstrated on examples.”