Conditional Value-at-Risk, spectral risk measures and (non-)diversification in portfolio selection problems – A comparison with mean–variance analysis

By Mario Brandtner. 2013

49 citations recorded by the source corpus.

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

View Paper: https://www.semanticscholar.org/paper/9955ad2640252a9e1390d9ee2f0d930637ee93fa

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. Mirmehdi Seyyed-Esfahani
2. Govindan Kannan
3. Terje Aven
4. Hamed Soleimani

In Finance

1. Mirmehdi Seyyed-Esfahani
2. Govindan Kannan
3. Terje Aven
4. Hamed Soleimani

In Management Science and Operations Research

1. Mirmehdi Seyyed-Esfahani
2. Govindan Kannan
3. Terje Aven
4. Hamed Soleimani

Citations in the corpus

• Incorporating risk measures in closed-loop supply chain network design (2014, methodology): “Besides, we can find some papers in comparing deviation risk measure to VaR and CVaR (Brandtner 2013; Sarykalin, Serraino, and Uryasev 2008).”
• Risk assessment and risk management: Review of recent advances on their foundation (2016, background): “…conditions, for example for a portfolio of projects or securities, and varying degree of uncertainties related to the parameters of the probability models; see e.g. Natarajan et al. (2009), Shapiro (2013), Brandtner (2013) and Mitra, Karathanasopoulos, Sermpinis, Christian, and Hood (2015) .”