Minimizing CVaR and VaR for a portfolio of derivatives

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Incorporating risk measures in closed-loop supply chain network design (2014, background): “…this claim can be excellent theoretical and practical background of incorporating such risk measures in financial optimisation in utilising risk measures (Alexander, Coleman, and Li 2006; Benati 2003; Konno and Yamazaki 1991; Krokhmal, Palmquist, and Uryasev 2002; Markowitz 1952; Yau et al. 2011).”
A Guide to Sample Average Approximation (2015, methodology): “This smoothing technique has been widely used, particularly for minimizing risk measures such as VaR and CVaR [Gaivoronski and Pflug, 2005, Alexander et al., 2006] as well as for handling chance constraints [Hong et al., 2011].”
Optimal reinsurance with general risk measures (2009, unknown): “(2007) and Schied (2007) deal with risk management, portfolio choice and optimal investment, and Alexander et al. (2006) compare the minimization of the value at”
What are robust strategies in the face of uncertain climate threshold responses? (2012, background): “…CVaR is also known as the Mean Excess Loss or Mean Shortfall, and has been previously applied to risk analysis in the energy sector (Fortin et al. 2007), the crop insurance industry (Liu et al. 2008), and financial markets (Andersson et al. 2001; Alexander et al. 2006; Quaranta and Zaffaroni 2008).”