Conditional value‐at‐risk beyond finance: a survey
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Cites work
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Cited in
(28)- A theory of the risk for empirical CVaR with application to portfolio selection
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- 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
- Distributional robustness and lateral transshipment for disaster relief logistics planning under demand ambiguity
- Risk‐averse two‐stage stochastic programming for the inventory rebalancing of bike‐sharing systems
- A robust ordered weighted averaging loss model for portfolio optimization
- 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
- Influences of risk-aversion behavior and purchasing option in a cross-border dual-channel supply chain
- Drawdown minimization in asset portfolio selection: MINLP models and efficient cross-entropy algorithm
- Risk-averse decision strategies for influence diagrams using rooted junction trees
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- A neural network-particle swarm solver for sustainable portfolio optimization problems
- Expectile-linked golden investment strategies
- Multiperiod mean-buffered probability of exceedance in defined contribution portfolio optimization
- Conditional value-at-risk portfolio optimization in high dimensions
- Enhanced index tracking with CVaR-based ratio measures
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