Conditional value‐at‐risk beyond finance: a survey

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Cited In (14)

Enhanced index tracking with CVaR-based ratio measures
A robust ordered weighted averaging loss model for portfolio optimization
On the role of commodity futures in portfolio diversification
Robust scheduling in a two-machine re-entrant flow shop to minimise the value-at-risk of the makespan: branch-and-bound and heuristic algorithms based on Markovian activity networks and phase-type distributions
A theory of the risk for empirical CVaR with application to portfolio selection
Risk‐averse two‐stage stochastic programming for the inventory rebalancing of bike‐sharing systems
On the non-existence of conditional value-at-risk under heavy tails and short sales
Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure
Distributional robustness and lateral transshipment for disaster relief logistics planning under demand ambiguity
A kernel search heuristic for a fair facility location problem
CVaR-based optimization of environmental flow via the Markov lift of a mixed moving average process
Pricing decisions with different time sequences in a cross‐border dual‐channel supply chain
Influences of risk-aversion behavior and purchasing option in a cross-border dual-channel supply chain
Assessing value at risk with CARE, the conditional autoregressive expectile models

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