Set-valued average value at risk and its computation

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Cite
Hamel, Andreas H., et al. “Set-Valued Average Value at Risk and Its Computation”. Mathematics and Financial Economics, vol. 7, no. 2, 2013, pp. 229-46, https://doi.org/10.1007/s11579-013-0094-9.
Hamel, A. H., Rudloff, B., & Yankova, M. (2013). Set-valued average value at risk and its computation. Mathematics and Financial Economics, 7(2), 229-246. https://doi.org/10.1007/s11579-013-0094-9
Hamel AH, Rudloff B, Yankova M. Set-valued average value at risk and its computation. Mathematics and Financial Economics. 2013;7(2):229-46.
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Refrences
Title Journal Journal Categories Citations Publication Date
COMONOTONIC MEASURES OF MULTIVARIATE RISKS

 Mathematical Finance
  • Social Sciences: Finance
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Science: Mathematics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 49 2012
Law invariant risk measures on L ∞ (ℝ d )

 Statistics & Risk Modeling
  • Science: Mathematics: Probabilities. Mathematical statistics
 15 2011
10.2143/AST.39.1.2038058 2009
10.21314/JCF.2009.207 Journal of Computational Finance
  • Social Sciences: Finance
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2009
Consistent risk measures for portfolio vectors Insurance: Mathematics and Economics
  • Science: Mathematics
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 61 2006
Refrences Analysis
Category Category Repetition
Social Sciences: Economic theory. Demography: Economics as a science6
Science: Mathematics3
Social Sciences: Finance3
Social Sciences: Commerce: Business3
Technology: Engineering (General). Civil engineering (General)2
Social Sciences: Statistics2
Technology: Manufactures: Production management. Operations management1
Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods1
The category Social Sciences: Economic theory. Demography: Economics as a science 6 is the most frequently represented among the references in this article. It primarily includes studies from Mathematical Finance The chart below illustrates the number of referenced publications per year.
Refrences used by this article by year
Citations
Title Journal Journal Categories Citations Publication Date
Outer approximation algorithms for convex vector optimization problems Optimization Methods and Software
  • Science: Mathematics: Instruments and machines: Electronic computers. Computer science: Computer software
  • Technology: Manufactures: Production management. Operations management
  • Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods
  • Science: Mathematics: Instruments and machines: Electronic computers. Computer science
 1 2023
Geometric Duality Results and Approximation Algorithms for Convex Vector Optimization Problems SIAM Journal on Optimization
  • Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods
  • Science: Mathematics
 2023
Portfolio Selection Models Based on Interval-Valued Conditional Value-at-Risk (ICVaR) and Case Study on the Data from Stock Markets

 Fractal and Fractional
  • Science: Physics: Heat: Thermodynamics
  • Science: Mathematics: Analysis
  • Science: Mathematics
  • Science: Mathematics
 2022
A new coherent multivariate average-value-at-risk Optimization
  • Technology: Manufactures: Production management. Operations management
  • Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods
  • Science: Mathematics
 4 2021
Qualitative robustness of set-valued value-at-risk Mathematical Methods of Operations Research
  • Technology: Manufactures: Production management. Operations management
  • Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods
  • Science: Mathematics
  • Technology: Engineering (General). Civil engineering (General)
  • Technology: Engineering (General). Civil engineering (General)
 2 2020
Citations Analysis
Category Category Repetition
Science: Mathematics29
Social Sciences: Finance12
Technology: Manufactures: Production management. Operations management12
Technology: Engineering (General). Civil engineering (General)11
Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods10
Science: Mathematics: Probabilities. Mathematical statistics7
Social Sciences: Economic theory. Demography: Economics as a science7
Social Sciences: Statistics7
Social Sciences: Commerce: Business7
Science: Science (General)2
Science: Physics1
Science: Mathematics: Instruments and machines: Electronic computers. Computer science: Computer software1
Science: Mathematics: Instruments and machines: Electronic computers. Computer science1
Science: Physics: Heat: Thermodynamics1
Science: Mathematics: Analysis1
Social Sciences: Finance: Insurance1
Technology: Technology (General): Industrial engineering. Management engineering: Information technology1
The category Science: Mathematics 29 is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled Lagrange Duality in Set Optimization and was published in 2013. The most recent citation comes from a 2023 study titled Outer approximation algorithms for convex vector optimization problems. This article reached its peak citation in 2020, with 7 citations. It has been cited in 26 different journals, 15% of which are open access. Among related journals, the Finance and Stochastics cited this research the most, with 3 citations. The chart below illustrates the annual citation trends for this article.
Citations used this article by year