articleTop 1% cited
Conditional value-at-risk for general loss distributions
Journal of Banking & Finance · 2002 · Vol. 26(7) · pp. 1443–1471
R. T. Rockafellar(University of Washington)Stan Uryasev✉(University of Florida)
Risk and Portfolio OptimizationStochastic processes and financial applicationsInsurance and Financial Risk ManagementCVARExpected shortfallValue at riskMeasure (data warehouse)Stability (learning theory)EconometricsCoherent risk measureRisk measureMathematical optimizationConditional probability distribution
Citations
3,623
FWCI
60.35
field-weighted impact
References
47
Percentile
100%
vs. same field & year
Citations per year
Cited by
On the coherence of expected shortfall
Journal of Banking & Finance · 2002 · 1,566 citations
Spectral measures of risk: A coherent representation of subjective risk aversion
Journal of Banking & Finance · 2002 · 967 citations
Bilateral Contract Networks for Peer-to-Peer Energy Trading
IEEE Transactions on Smart Grid · 2018 · 529 citations
References
Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market
Management Science · 1991 · 1,516 citations
On the coherence of expected shortfall
Journal of Banking & Finance · 2002 · 1,566 citations
Portfolio Selection
The Journal of Finance · 1952 · 4,474 citations
Citation Network
How this paper connects to the literature. Drag to explore, click any node to open that paper.