Risk management with expected shortfall

Article Properties
Cite
Wei, Pengyu. “Risk Management With Expected Shortfall”. Mathematics and Financial Economics, vol. 15, no. 4, 2021, pp. 847-83, https://doi.org/10.1007/s11579-021-00298-x.
Wei, P. (2021). Risk management with expected shortfall. Mathematics and Financial Economics, 15(4), 847-883. https://doi.org/10.1007/s11579-021-00298-x
Wei P. Risk management with expected shortfall. Mathematics and Financial Economics. 2021;15(4):847-83.
Journal Categories
Science
Mathematics
Social Sciences
Commerce
Business
Social Sciences
Economic theory
Demography
Economics as a science
Social Sciences
Finance
Social Sciences
Statistics
Refrences
Title Journal Journal Categories Citations Publication Date
Risk management with weighted VaR

 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
 18 2018
A NOTE ON THE QUANTILE FORMULATION

 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
 48 2016
Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR

 Mathematics of Operations Research
  • Technology: Manufactures: Production management. Operations management
  • Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods
  • Science: Mathematics
 34 2015
PORTFOLIO CHOICE VIA QUANTILES

 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
 100 2011
On the Neyman–Pearson problem for law-invariant risk measures and robust utility functionals The Annals of Applied Probability
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Science: Mathematics
 57 2004
Citations
Title Journal Journal Categories Citations Publication Date
Volatility forecasting and assessing risk of financial markets using multi-transformer neural network based architecture Engineering Applications of Artificial Intelligence
  • Technology: Mechanical engineering and machinery
  • Science: Mathematics: Instruments and machines: Electronic computers. Computer science
  • Technology: Engineering (General). Civil engineering (General)
  • Technology: Electrical engineering. Electronics. Nuclear engineering: Electric apparatus and materials. Electric circuits. Electric networks
  • Technology: Mechanical engineering and machinery
  • Technology: Electrical engineering. Electronics. Nuclear engineering: Electronics
  • Technology: Engineering (General). Civil engineering (General)
 2024
Optimal Investment with Risk Controlled by Weighted Entropic Risk Measures SIAM Journal on Financial Mathematics
  • Social Sciences: Finance
  • Social Sciences: Statistics
  • Science: Mathematics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2024
Non-concave portfolio optimization with average value-at-risk Mathematics and Financial Economics
  • 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
 1 2023
Impact of systemic risk regulation on optimal policies and asset prices Journal of Banking & Finance
  • Social Sciences: Finance
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business: Accounting. Bookkeeping
  • Social Sciences: Finance
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 1 2023
Relative Growth Rate Optimization Under Behavioral Criterion SIAM Journal on Financial Mathematics
  • Social Sciences: Finance
  • Social Sciences: Statistics
  • Science: Mathematics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2023
Citations Analysis
Category Category Repetition
Social Sciences: Finance5
Social Sciences: Economic theory. Demography: Economics as a science5
Social Sciences: Commerce: Business5
Social Sciences: Statistics4
Science: Mathematics4
Technology: Mechanical engineering and machinery1
Science: Mathematics: Instruments and machines: Electronic computers. Computer science1
Technology: Engineering (General). Civil engineering (General)1
Technology: Electrical engineering. Electronics. Nuclear engineering: Electric apparatus and materials. Electric circuits. Electric networks1
Technology: Electrical engineering. Electronics. Nuclear engineering: Electronics1
Social Sciences: Commerce: Business: Accounting. Bookkeeping1
The category Social Sciences: Finance 5 is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled The optimal payoff for a Yaari investor and was published in 2022. The most recent citation comes from a 2024 study titled Volatility forecasting and assessing risk of financial markets using multi-transformer neural network based architecture. This article reached its peak citation in 2023, with 6 citations. It has been cited in 8 different journals. Among related journals, the SIAM Journal on Financial Mathematics cited this research the most, with 2 citations. The chart below illustrates the annual citation trends for this article.
Citations used this article by year