On the public citation graph
The Interplay between Utility and Risk in Portfolio Selection
0 signed · 34 inferred · view as graph
Inferred edges come from two machine sources: sweeps of open repository metadata (mostly SSRN and Zenodo), and a bulk OpenAlex citation snapshot. Every row below is labelled with the one it came from. Neither is a complete citation index — absence here is not evidence of absence.
Is this your work? Sign in with ORCID and put your name on the
claims that are yours.
Reference health. See whether every reference in this work resolves to a
known work and none has been retracted — and get a dated CiteStamped
badge you can embed.
What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1007/s00780-018-0357-7openalex-snapshot
Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces
inferredcites →https://doi.org/10.1007/s00780-024-00555-zopenalex-snapshot
Risk-constrained portfolio choice under rank-dependent utility
inferredcites →https://doi.org/10.1007/s10479-021-04403-7openalex-snapshot
Portfolio optimization with optimal expected utility risk measures
inferredcites →https://doi.org/10.1007/s10479-023-05295-5openalex-snapshot
The importance of dynamic risk constraints for limited liability operators
inferredcites →https://doi.org/10.1007/s11579-009-0021-2openalex-snapshot
Static portfolio choice under Cumulative Prospect Theory
inferredcites →https://doi.org/10.1016/0022-0531(83)90129-1openalex-snapshot
A characterization of the distributions that imply mean—Variance utility functions
inferredcites →https://doi.org/10.1016/0022-0531(90)90064-qopenalex-snapshot
Lotteries, insurance, and star-shaped utility functions
inferredcites →https://doi.org/10.1016/j.jbankfin.2005.04.004openalex-snapshot
Master funds in portfolio analysis with general deviation measures
inferredcites →https://doi.org/10.1016/j.jbankfin.2007.12.032openalex-snapshot
Spectral risk measures and portfolio selection
inferredcites →https://doi.org/10.1016/j.jbankfin.2019.01.010openalex-snapshot
Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility
inferredcites →https://doi.org/10.1016/j.jbankfin.2021.106315openalex-snapshot
Coherent risk measures alone are ineffective in constraining portfolio losses
inferredcites →https://doi.org/10.1016/j.jmateco.2008.01.002openalex-snapshot
Utility maximization under a shortfall risk constraint
inferredcites →https://doi.org/10.1016/s0165-1889(01)00041-0openalex-snapshot
Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis
inferredcites →https://doi.org/10.1016/s0165-1889(03)00109-xopenalex-snapshot
Shortfall as a risk measure: properties, optimization and applications
inferredcites →https://doi.org/10.1016/s0378-4266(00)00160-6openalex-snapshot
Optimal portfolio selection in a Value-at-Risk framework
inferredcites →https://doi.org/10.1016/s0378-4266(02)00271-6openalex-snapshot
Conditional value-at-risk for general loss distributions
inferredcites →https://doi.org/10.1080/14697680701422089openalex-snapshot
On the Feasibility of Portfolio Optimization under Expected Shortfall
inferredcites →https://doi.org/10.1080/15326340903088495openalex-snapshot
Utility Maximization Under Bounded Expected Loss
inferredcites →https://doi.org/10.1093/rfs/14.2.371openalex-snapshot
Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices
inferredcites →https://doi.org/10.1111/j.1467-9965.2009.00364.xopenalex-snapshot
RISK MEASURES ON ORLICZ HEARTS
inferredcites →https://doi.org/10.1111/j.1467-9965.2010.00432.xopenalex-snapshot
PORTFOLIO CHOICE VIA QUANTILES
inferredcites →https://doi.org/10.1111/j.1468-0262.2006.00716.xopenalex-snapshot
Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
inferredcites →https://doi.org/10.1111/j.1540-6261.1983.tb02499.xopenalex-snapshot
On the Class of Elliptical Distributions and their Applications to the Theory of Portfolio Choice
inferredcites →https://doi.org/10.1111/mafi.12333openalex-snapshot
Mean‐ portfolio selection and ‐arbitrage for coherent risk measures
inferredcites →https://doi.org/10.1142/9789814417358_0030openalex-snapshot
Convex risk measures: Basic facts, law-invariance and beyond, asymptotics for large portfolios
inferredcites →https://doi.org/10.1287/mnsc.2020.3846openalex-snapshot
Justifying Mean-Variance Portfolio Selection when Asset Returns Are Skewed
inferredcites →https://doi.org/10.1287/moor.2014.0695openalex-snapshot
Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR
inferredcites →https://doi.org/10.1287/moor.2023.0173openalex-snapshot
ρ-Arbitrage and ρ-Consistent Pricing for Star-Shaped Risk Measures
inferredcites →https://doi.org/10.21314/jor.2000.038openalex-snapshot
Optimization of conditional value-at-risk
inferredcites →https://doi.org/10.2307/1914185openalex-snapshot
Prospect Theory: An Analysis of Decision under Risk
Editorial review for independent work. ICSAC — the Institute for Complexity
Science and Advanced Computing — runs a structured editorial panel for researchers
publishing outside journals, and publishes on CiteStamp rails. Submission is free
and goes through ORCID: icsacinstitute.org/submit.