{"id":"https://openalex.org/W1963660158","doi":"https://doi.org/10.1007/s10479-013-1482-5","title":"Properties and calculation of multivariate risk measures: MVaR and MCVaR","display_name":"Properties and calculation of multivariate risk measures: MVaR and MCVaR","publication_year":2013,"publication_date":"2013-10-18","ids":{"openalex":"https://openalex.org/W1963660158","doi":"https://doi.org/10.1007/s10479-013-1482-5","mag":"1963660158"},"language":"en","primary_location":{"id":"doi:10.1007/s10479-013-1482-5","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-013-1482-5","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Operations Research","raw_type":"journal-article"},"type":"article","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/A5100762916","display_name":"Jinwook Lee","orcid":"https://orcid.org/0000-0002-1358-5322"},"institutions":[{"id":"https://openalex.org/I102322142","display_name":"Rutgers, The State University of New Jersey","ror":"https://ror.org/05vt9qd57","country_code":"US","type":"education","lineage":["https://openalex.org/I102322142"]},{"id":"https://openalex.org/I4210096112","display_name":"Rutgers Sexual and Reproductive Health and Rights","ror":"https://ror.org/00rcvgx40","country_code":"NL","type":"other","lineage":["https://openalex.org/I4210096112"]}],"countries":["NL","US"],"is_corresponding":true,"raw_author_name":"Jinwook Lee","raw_affiliation_strings":["Management Science & Information Systems, Rutgers Business School, Rutgers University, 100 Rockafeller Road, Piscataway, NJ, 08854, USA","Management Science & Information Systems, Rutgers Business School, Rutgers University, Piscataway, USA","Rutgers, University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Management Science & Information Systems, Rutgers Business School, Rutgers University, 100 Rockafeller Road, Piscataway, NJ, 08854, USA","institution_ids":["https://openalex.org/I102322142"]},{"raw_affiliation_string":"Management Science & Information Systems, Rutgers Business School, Rutgers University, Piscataway, USA","institution_ids":["https://openalex.org/I102322142","https://openalex.org/I4210096112"]},{"raw_affiliation_string":"Rutgers, University","institution_ids":["https://openalex.org/I102322142"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5056572859","display_name":"Andr\u00e1s Pr\u00e9kopa","orcid":null},"institutions":[{"id":"https://openalex.org/I102322142","display_name":"Rutgers, The State University of New Jersey","ror":"https://ror.org/05vt9qd57","country_code":"US","type":"education","lineage":["https://openalex.org/I102322142"]},{"id":"https://openalex.org/I4210096112","display_name":"Rutgers Sexual and Reproductive Health and Rights","ror":"https://ror.org/00rcvgx40","country_code":"NL","type":"other","lineage":["https://openalex.org/I4210096112"]}],"countries":["NL","US"],"is_corresponding":true,"raw_author_name":"Andr\u00e1s Pr\u00e9kopa","raw_affiliation_strings":["Management Science & Information Systems, Rutgers Business School, Rutgers University, 100 Rockafeller Road, Piscataway, NJ, 08854, USA","Management Science & Information Systems, Rutgers Business School, Rutgers University, Piscataway, USA","Rutgers, University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Management Science & Information Systems, Rutgers Business School, Rutgers University, 100 Rockafeller Road, Piscataway, NJ, 08854, USA","institution_ids":["https://openalex.org/I102322142"]},{"raw_affiliation_string":"Management Science & Information Systems, Rutgers Business School, Rutgers University, Piscataway, USA","institution_ids":["https://openalex.org/I102322142","https://openalex.org/I4210096112"]},{"raw_affiliation_string":"Rutgers, University","institution_ids":["https://openalex.org/I102322142"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5056572859","https://openalex.org/A5100762916"],"corresponding_institution_ids":["https://openalex.org/I102322142","https://openalex.org/I4210096112"],"apc_list":{"value":2990,"currency":"USD","value_usd":2990},"apc_paid":null,"fwci":4.3189,"has_fulltext":false,"cited_by_count":25,"citation_normalized_percentile":{"value":0.93957372,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"211","issue":"1","first_page":"225","last_page":"254"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9990000128746033,"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":0.9990000128746033,"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/T12135","display_name":"Fuzzy Systems and Optimization","score":0.9785000085830688,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10050","display_name":"Multi-Criteria Decision Making","score":0.972100019454956,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/multivariate-statistics","display_name":"Multivariate statistics","score":0.8835372924804688},{"id":"https://openalex.org/keywords/quantile","display_name":"Quantile","score":0.6264147758483887},{"id":"https://openalex.org/keywords/theory-of-computation","display_name":"Theory of computation","score":0.5592632293701172},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"Value at risk","score":0.49837636947631836},{"id":"https://openalex.org/keywords/multivariate-analysis","display_name":"Multivariate analysis","score":0.4907275438308716},{"id":"https://openalex.org/keywords/measure","display_name":"Measure (data warehouse)","score":0.47119805216789246},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4547138214111328},{"id":"https://openalex.org/keywords/expected-shortfall","display_name":"Expected shortfall","score":0.4352227747440338},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.4232825040817261},{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.33882108330726624},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.3215349316596985},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3197958469390869},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.14665573835372925},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.11937212944030762},{"id":"https://openalex.org/keywords/data-mining","display_name":"Data mining","score":0.1188603937625885},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.11263811588287354}],"concepts":[{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.8835372924804688},{"id":"https://openalex.org/C118671147","wikidata":"https://www.wikidata.org/wiki/Q578714","display_name":"Quantile","level":2,"score":0.6264147758483887},{"id":"https://openalex.org/C24858836","wikidata":"https://www.wikidata.org/wiki/Q844718","display_name":"Theory of computation","level":2,"score":0.5592632293701172},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.49837636947631836},{"id":"https://openalex.org/C38180746","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate analysis","level":2,"score":0.4907275438308716},{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.47119805216789246},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4547138214111328},{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.4352227747440338},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4232825040817261},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.33882108330726624},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3215349316596985},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3197958469390869},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.14665573835372925},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.11937212944030762},{"id":"https://openalex.org/C124101348","wikidata":"https://www.wikidata.org/wiki/Q172491","display_name":"Data mining","level":1,"score":0.1188603937625885},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.11263811588287354}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/s10479-013-1482-5","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-013-1482-5","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Operations Research","raw_type":"journal-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.348.5620","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.348.5620","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://rutcor.rutgers.edu/pub/rrr/reports2012/25_2012.pdf","raw_type":"text"},{"id":"pmh:oai:RePEc:spr:annopr:v:211:y:2013:i:1:p:225-254:10.1007/s10479-013-1482-5","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s10479-013-1482-5","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":42,"referenced_works":["https://openalex.org/W66371144","https://openalex.org/W418142924","https://openalex.org/W636841343","https://openalex.org/W638800637","https://openalex.org/W1106997938","https://openalex.org/W1486993561","https://openalex.org/W1508957056","https://openalex.org/W1551275368","https://openalex.org/W1647779468","https://openalex.org/W1799612659","https://openalex.org/W1971212388","https://openalex.org/W1971947347","https://openalex.org/W1978894191","https://openalex.org/W2007668370","https://openalex.org/W2010069926","https://openalex.org/W2019291268","https://openalex.org/W2046396733","https://openalex.org/W2064739942","https://openalex.org/W2069826626","https://openalex.org/W2072282266","https://openalex.org/W2079294715","https://openalex.org/W2088239637","https://openalex.org/W2105067446","https://openalex.org/W2108025480","https://openalex.org/W2113885151","https://openalex.org/W2127814853","https://openalex.org/W2133282089","https://openalex.org/W2135359007","https://openalex.org/W2140236164","https://openalex.org/W2155581291","https://openalex.org/W2164036417","https://openalex.org/W2314485382","https://openalex.org/W2325091678","https://openalex.org/W2486157893","https://openalex.org/W2798344481","https://openalex.org/W2952502513","https://openalex.org/W3159313784","https://openalex.org/W4233336709","https://openalex.org/W4234505247","https://openalex.org/W6620616188","https://openalex.org/W6620753564","https://openalex.org/W7045075203"],"related_works":["https://openalex.org/W2346600303","https://openalex.org/W3126123222","https://openalex.org/W3111963867","https://openalex.org/W2744350573","https://openalex.org/W799577184","https://openalex.org/W2277923374","https://openalex.org/W4301377905","https://openalex.org/W3122839946","https://openalex.org/W3149677656","https://openalex.org/W2381915135"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":3},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":4},{"year":2014,"cited_by_count":4}],"updated_date":"2026-07-23T08:03:31.855105","created_date":"2025-10-10T00:00:00"}