{"id":"https://openalex.org/W1904801170","doi":"https://doi.org/10.1109/cifer.2000.844598","title":"Conditional value-at-risk: optimization algorithms and applications","display_name":"Conditional value-at-risk: optimization algorithms and applications","publication_year":2002,"publication_date":"2002-11-07","ids":{"openalex":"https://openalex.org/W1904801170","doi":"https://doi.org/10.1109/cifer.2000.844598","mag":"1904801170"},"language":"en","primary_location":{"id":"doi:10.1109/cifer.2000.844598","doi":"https://doi.org/10.1109/cifer.2000.844598","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cifer.2000.844598","pdf_url":null,"source":{"id":"https://openalex.org/S4306422520","display_name":"IEEE Conference on Computational Intelligence for Financial Engineering & Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520)","raw_type":"proceedings-article"},"volume":null,"type":"conference-paper","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5022103693","display_name":"Stan Uryasev","orcid":"https://orcid.org/0000-0001-6950-3966","observed_orcids":["https://orcid.org/0000-0001-6950-3966"]},"institutions":[{"id":"https://openalex.org/I33213144","display_name":"University of Florida","ror":"https://ror.org/02y3ad647","country_code":"US","type":"education","lineage":["https://openalex.org/I33213144"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"S. Uryasev","raw_affiliation_strings":["Department of ISE, Center for Applied Optimization, University of Florida","Center for Appl. Optimization, Florida Univ., FL, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of ISE, Center for Applied Optimization, University of Florida","institution_ids":["https://openalex.org/I33213144"]},{"raw_affiliation_string":"Center for Appl. Optimization, Florida Univ., FL, USA","institution_ids":["https://openalex.org/I33213144"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5022103693"],"corresponding_institution_ids":["https://openalex.org/I33213144"],"apc_list":null,"apc_paid":null,"fwci":13.454,"has_fulltext":false,"cited_by_count":382,"citation_normalized_percentile":{"value":0.99191299,"is_in_top_1_percent":true,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":99,"max":100},"biblio":{"volume":null,"issue":null,"first_page":"49","last_page":"57"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":1.0,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":1.0,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10963","display_name":"Advanced Optimization Algorithms Research","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2612","display_name":"Numerical Analysis"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/conditional-value-at-risk","display_name":"conditional value at risk","score":0.9980000257492065},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"value at risk","score":0.9559999704360962},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"portfolio optimization","score":0.875},{"id":"https://openalex.org/keywords/linear-programming","display_name":"linear programming","score":0.7580000162124634},{"id":"https://openalex.org/keywords/risk-management","display_name":"risk management","score":0.5350000262260437}],"concepts":[{"id":"https://openalex.org/C2779922397","wikidata":"https://www.wikidata.org/wiki/Q5014755","display_name":"CVAR","level":4,"score":0.9988043308258057},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.6604057550430298},{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.6343758702278137},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5129908919334412},{"id":"https://openalex.org/C2777212361","wikidata":"https://www.wikidata.org/wiki/Q5127848","display_name":"Class (philosophy)","level":2,"score":0.4636380076408386},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.4219369888305664},{"id":"https://openalex.org/C137836250","wikidata":"https://www.wikidata.org/wiki/Q984063","display_name":"Optimization problem","level":2,"score":0.4205596148967743},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.3451421558856964},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.34253501892089844},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.1276783049106598},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.07203558087348938},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.06972897052764893},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.0},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/cifer.2000.844598","doi":"https://doi.org/10.1109/cifer.2000.844598","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cifer.2000.844598","pdf_url":null,"source":{"id":"https://openalex.org/S4306422520","display_name":"IEEE Conference on Computational Intelligence for Financial Engineering & Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":12,"referenced_works":["https://openalex.org/W315644267","https://openalex.org/W1544200418","https://openalex.org/W1647779468","https://openalex.org/W2002736235","https://openalex.org/W2019291268","https://openalex.org/W2029225872","https://openalex.org/W2038865108","https://openalex.org/W2101021565","https://openalex.org/W2111951371","https://openalex.org/W2133219138","https://openalex.org/W2140767419","https://openalex.org/W4236670843"],"related_works":["https://openalex.org/W315644267","https://openalex.org/W7113677436","https://openalex.org/W2232143283","https://openalex.org/W7095590868","https://openalex.org/W2069009481","https://openalex.org/W3142908588","https://openalex.org/W1606492702","https://openalex.org/W1106997938","https://openalex.org/W7097221013","https://openalex.org/W2002736235"],"abstract_inverted_index":{"This":[0],"article":[1],"has":[2],"outlined":[3],"a":[4,21,60],"new":[5],"approach":[6],"for":[7,20],"the":[8,77,80],"simultaneous":[9],"calculation":[10],"of":[11,16,24,79],"value-at-risk":[12],"(VaR)":[13],"and":[14],"optimization":[15,81],"conditional":[17],"VaR":[18,50,53],"(CVaR)":[19],"broad":[22],"class":[23],"problems.":[25],"We":[26],"have":[27],"shown":[28],"that":[29,42],"CVaR":[30,43,64],"can":[31,66],"be":[32,55,67],"efficiently":[33,69],"minimized":[34],"using":[35,70],"LP":[36],"techniques.":[37,82],"Our":[38],"numerical":[39],"experiments":[40],"show":[41],"optimal":[44,48],"portfolios":[45],"are":[46],"near":[47],"in":[49],"terms,":[51],"i.e.,":[52],"cannot":[54],"reduced":[56],"further":[57],"more":[58],"than":[59],"few":[61],"percent.":[62],"Also,":[63],"constraints":[65],"handled":[68],"equivalent":[71],"linear":[72],"constraints,":[73],"which":[74],"dramatically":[75],"improves":[76],"efficiency":[78]},"counts_by_year":[{"year":2026,"cited_by_count":5},{"year":2025,"cited_by_count":7},{"year":2024,"cited_by_count":16},{"year":2023,"cited_by_count":13},{"year":2022,"cited_by_count":10},{"year":2021,"cited_by_count":20},{"year":2020,"cited_by_count":22},{"year":2019,"cited_by_count":17},{"year":2018,"cited_by_count":15},{"year":2017,"cited_by_count":18},{"year":2016,"cited_by_count":11},{"year":2015,"cited_by_count":13},{"year":2014,"cited_by_count":26},{"year":2013,"cited_by_count":18},{"year":2012,"cited_by_count":26}],"updated_date":"2026-10-27T15:51:10.671819","created_date":"2016-06-24T00:00:00"}
