Topic · Risk and Portfolio Optimization
Most cited papers in Risk and Portfolio Optimization
What are the most cited papers in Risk and Portfolio Optimization?
The most cited paper in Risk and Portfolio Optimization is "Coherent Measures of Risk" (Philippe Artzner, Freddy Delbaen, Jean‐Marc Eber et al., 1999), with 9,137 citations. Next come "Optimum consumption and portfolio rules in a continuous-time model" (6,223) and "The Price of Robustness" (4,567).
Showing 50 of 100 papers. Every paper with more than 532 citations is listed.
| # | Paper | ||
|---|---|---|---|
| 1 | Coherent Measures of Risk Philippe Artzner, Freddy Delbaen, Jean‐Marc Eber et al. · Mathematical Finance | Jul 1999 | 9,137 |
| 2 | Optimum consumption and portfolio rules in a continuous-time model Robert C. Merton · Journal of Economic Theory | Dec 1971 | 6,223 |
| 3 | The Price of Robustness Dimitris Bertsimas, Melvyn Sim · Operations Research | Feb 2004 | 4,567 |
| 4 | Increasing risk: I. A definition Michael Rothschild, Joseph E. Stiglitz · Journal of Economic Theory | Sep 1970 | 3,940 |
| 5 | Conditional value-at-risk for general loss distributions R. TYRRELL ROCKAFELLAR, Stan Uryasev · Journal of Banking & Finance | Jul 2002 | 3,758 |
| 6 | Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? Victor DeMiguel, Lorenzo Garlappi, Raman Uppal · Review of Financial Studies | 3 Dec 2007 | 3,325 |
| 7 | Martingales and stochastic integrals in the theory of continuous trading J. Michael Harrison, Stanley R. Pliska · Stochastic Processes and their Applications | Aug 1981 | 2,919 |
| 8 | Controlled Markov Processes and Viscosity Solutions Wendell H. Fleming, Halil Mete Soner | 2005 | 2,789 |
| 9 | A Simplified Model for Portfolio Analysis William F. Sharpe · Management Science | 1963 | 2,749 |
| 10 | Regularization Paths for Cox's Proportional Hazards Model via Coordinate Descent Noah Simon, J. Friedman, Trevor Hastie et al. · Journal of Statistical Software | 2011 | 2,690 |
| 11 | Robust Convex Optimization Aharon Ben‐Tal, Arkadi S. Nemirovski · Mathematics of Operations Research | Nov 1998 | 2,632 |
| 12 | Theory and Applications of Robust Optimization David B. Brown, Constantine Caramanis, Dimitris Bertsimas · DSpace@MIT (Massachusetts Institute of Technology) | Oct 2010 | 2,560 |
| 13 | Robust Stochastic Approximation Approach to Stochastic Programming Arkadi S. Nemirovski, Anatoli Juditsky, Guanghui Lan et al. · SIAM Journal on Optimization | 2009 | 2,115 |
| 14 | Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems Erick Delage, Yinyu Ye · Operations Research | 28 Jan 2010 | 1,977 |
| 15 | A Smooth Model of Decision Making under Ambiguity Peter Klibanoff, Mássimo Marinacci, Sujoy Mukerji · Econometrica | 11 Oct 2005 | 1,975 |
| 16 | Robust Optimization of Large-Scale Systems John M. Mulvey, Robert J. Vanderbei, Stavros A. Zenios · Operations Research | Apr 1995 | 1,947 |
| 17 | Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations Peyman Mohajerin Esfahani, Daniel R. Kuhn · Infoscience (Ecole Polytechnique Fédérale de Lausanne) | 7 May 2015 | 1,905 |
| 18 | Robust discrete optimization and network flows Dimitris Bertsimas, Melvyn Sim · Mathematical Programming | Sep 2003 | 1,819 |
| 19 | Robust solutions of Linear Programming problems contaminated with uncertain data Aharon Ben‐Tal, Arkadi S. Nemirovski · Mathematical Programming | Sep 2000 | 1,761 |
| 20 | Optimal consumption and portfolio policies when asset prices follow a diffusion process John C. Cox, Chi-fu Huang · Journal of Economic Theory | Oct 1989 | 1,723 |
| 21 | Adaptive Robust Optimization for the Security Constrained Unit Commitment Problem Dimitris Bertsimas, Eugene Litvinov, Xu Andy Sun et al. · IEEE Transactions on Power Systems | 24 Jul 2012 | 1,676 |
| 22 | On the coherence of expected shortfall Carlo Acerbi, Dirk Tasche · Journal of Banking & Finance | Jul 2002 | 1,628 |
| 23 | A General Version of the Fundamental Theorem of Asset Pricing (1994) Freddy Delbaen, Walter Schachermayer | 24 Oct 2008 | 1,620 |
| 24 | Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market Hiroshi Konno, Hiroaki Yamazaki · Management Science | May 1991 | 1,539 |
| 25 | Convex measures of risk and trading constraints Hans Föllmer, Alexander Schied · Finance and Stochastics | Oct 2002 | 1,510 |
| 26 | Adjustable robust solutions of uncertain linear programs Aharon Ben‐Tal, Alexander Goryashko, E. Guslitzer et al. · Mathematical Programming | Mar 2004 | 1,427 |
| 27 | Multi-stage stochastic optimization applied to energy planning Mario V. F. Pereira, Leontina M. V. G. Pinto · Mathematical Programming | May 1991 | 1,382 |
| 28 | Scenarios and Policy Aggregation in Optimization Under Uncertainty R. TYRRELL ROCKAFELLAR, Roger J.‐B. Wets · Mathematics of Operations Research | Feb 1991 | 1,357 |
| 29 | Linear Programming Under Uncertainty George B. Dantzig · Management Science | Dec 2004 | 1,187 |
| 30 | Convex Approximations of Chance Constrained Programs Arkadi S. Nemirovski, Alexander Shapiro · SIAM Journal on Optimization | 22 Nov 2006 | 1,185 |
| 31 | Optimization under uncertainty: state-of-the-art and opportunities Nikolaos V. Sahinidis · Computers & Chemical Engineering | 11 Nov 2003 | 1,177 |
| 32 | A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms Victor DeMiguel, Lorenzo Garlappi, Francisco J. Nogales et al. · Management Science | 6 Mar 2009 | 1,108 |
| 33 | A Class of Solutions for Group Decision Problems P. L. Yu · Management Science | Apr 1973 | 1,101 |
| 34 | Stochastic First- and Zeroth-Order Methods for Nonconvex Stochastic Programming Saeed Ghadimi, Guanghui Lan · SIAM Journal on Optimization | 2013 | 1,096 |
| 35 | Modelling Dependence with Copulas and Applications to Risk Management Paul Embrechts, Filip Lindskog, Alexander J. McNeil · Elsevier eBooks | 2003 | 1,064 |
| 36 | An Analytic Derivation of the Efficient Portfolio Frontier Robert C. Merton · Journal of Financial and Quantitative Analysis | Sep 1972 | 1,058 |
| 37 | Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework Xun Yu Zhou, Duan Li · Applied Mathematics & Optimization | 2000 | 1,057 |
| 38 | On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results Michael J. Best, Robert R. Grauer · Review of Financial Studies | Apr 1991 | 1,055 |
| 39 | Scenario reduction in stochastic programming J. Dupa ov�, N. Gr�we-Kuska, Werner R�misch · Mathematical Programming | Mar 2003 | 1,043 |
| 40 | Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation Duan Li, Wan‐Lung Ng · Mathematical Finance | Jul 2000 | 1,019 |
| 41 | Spectral measures of risk: A coherent representation of subjective risk aversion Carlo Acerbi · Journal of Banking & Finance | Jul 2002 | 993 |
| 42 | The asymptotic elasticity of utility functions and optimal investment in incomplete markets Dmitry Kramkov, Walter Schachermayer · The Annals of Applied Probability | Aug 1999 | 991 |
| 43 | Scenario Reduction Algorithms in Stochastic Programming Holger Heitsch, Werner Römisch · Computational Optimization and Applications | Feb 2003 | 987 |
| 44 | Distributionally Robust Convex Optimization Wolfram Wiesemann, Daniel R. Kuhn, Melvyn Sim · Operations Research | 14 Oct 2014 | 976 |
| 45 | Robust Unit Commitment With Wind Power and Pumped Storage Hydro Ruiwei Jiang, Jianhui Wang, Yongpei Guan · IEEE Transactions on Power Systems | 3 Nov 2011 | 961 |
| 46 | Choice Under Uncertainty: Problems Solved and Unsolved Mark J. Machina · Hübner international series on risk, insurance, and economic security | 1992 | 958 |
| 47 | Heuristics for cardinality constrained portfolio optimisation Tun-Jen Chang, Nigel Meade, J. E. Beasley et al. · Computers & Operations Research | Nov 2000 | 939 |
| 48 | Robust Portfolio Selection Problems Donald Goldfarb, Garud Iyengar · Mathematics of Operations Research | Feb 2003 | 932 |
| 49 | Monte Carlo Sampling Methods Alexander Shapiro · Handbooks in operations research and management science | 2003 | 928 |
| 50 | Recent advances in robust optimization: An overview Virginie Gabrel, Cécile Murat, Aurélie C. Thiele · European Journal of Operational Research | 6 Oct 2013 | 917 |
Citations are OpenAlex's own counts, from its 2026-09-23 snapshot, so the ranking can differ from Google Scholar or Web of Science. A paper is listed for a field when OpenAlex files it under one of the field's topics; retracted papers and papers whose citation count cannot be traced to citing works are left out, and a preprint and the article it became are shown once. Release dates are OpenAlex's: where a source gave only a month or a year, that is what is shown. How the lists are chosen.