A+Management ScienceUTD24FT50202067(9): 5730-5754Backtesting Marginal Expected Shortfall and Related Systemic Risk MeasuresDenisa Banulescu‐Radu, Christophe Hurlin, Jérémy Leymarie, Olivier Scaillet B被引 55高影响力 前 10%基金开放获取金融不确定性优化(随机/鲁棒/DRO/CVaR)疏散行为与风险认知金融风险与机器学习
A+Management ScienceUTD24FT50202572(6): 4952-4973E-backtestingQiuqi Wang, Ruodu Wang, Johanna F. Ziegel被引 3高影响力 前 10%金融
A+Operations ResearchUTD24FT50201664(5): 1056-1072On the Measurement of Economic Tail RiskSteven G. Kou, Xianhua Peng被引 97高影响力 前 10%基金开放获取管理科学与运筹学
A+Management ScienceUTD24FT50201663(4): 940-958Backtesting Expected Shortfall: Accounting for Tail RiskZaichao Du, Juan Carlos Escanciano被引 171高影响力 前 1%基金开放获取金融
EM-T2Risk Management: An International Journal202628(4)Reliable value at risk estimation with conformal predictionMilo Ivancevic, Khuong An Nguyen, Zhiyuan Luo被引 0开放获取有全文金融预测—优化与决策导向学习
A1Journal of Financial and Quantitative AnalysisFT50202561(5): 2557-2587Consistent Backtesting Systemic Risk MeasuresSoon Heng Leong被引 1金融金融风险与机器学习
EM-WoSEuropean Journal of Operational Research2026Tractable conditions for stochastic arbitrage in index options: Theory and evidenceThierry Post, Illia Kovalenko被引 0开放获取金融
EM-T1Stochastic Environmental Research and Risk Assessment202640(6)Combining (near) real-time and historic marine mammal information for sonar risk assessment forecasting and backtestingAndrew C. Day被引 1高影响力 前 10%开放获取生态学
A+Management ScienceUTD24FT50201865(6): 2591-2606Strategic Selection of Risk Models and Bank Capital RegulationJean-Édouard Colliard被引 39高影响力 前 10%开放获取金融
A+Management ScienceUTD24FT502017Backtesting Expected ShortfallDuZaichao, Escanciano Juan Carlos被引 0管理科学与运筹学
A+Management ScienceUTD24FT50202168(9): 6382-6410Distributionally Robust Mean-Variance Portfolio Selection with Wasserstein DistancesJosé Blanchet, Lin Chen, Xun Yu Zhou被引 136高影响力 前 10%基金开放获取管理科学与运筹学不确定性优化(随机/鲁棒/DRO/CVaR)
A+Manufacturing & Service Operations ManagementUTD24FT50202025(2): 371-390Data-Driven Optimization for Commodity Procurement Under Price UncertaintyChristian Mandl, Stefan Minner被引 57高影响力 前 10%管理信息系统预测—优化与决策导向学习金融风险与机器学习
A+Management ScienceUTD24FT50201966(1): 397-414Option-Implied Intrahorizon Value at RiskMarkus Leippold, Nikola Vasiljević被引 10阅读 1金融实物期权与能源/绿色投资
EM-T2Journal of Risk2026A generic nonparametric value-at-risk estimator for high dimensionsSiyuan Sun被引 0开放获取金融不确定性优化(随机/鲁棒/DRO/CVaR)
A+Production and Operations ManagementUTD24FT50202635(10): 3770-3791Will machines take over? Algorithms for human–machine collaborative decision making in healthcareMehmet Eren Ahsen, Radha V. Mookerjee, Mehmet Ayvaci被引 0阅读 1健康信息学
EM-T2Journal of Risk Model Validation2026A hybrid value-at-risk/estimated shortfall model: linking accuracy, calibration and explanation stability across horizonsZhixing Lin, Yu Xia被引 0金融
A+Management ScienceUTD24FT50202269(5): 2954-2971Monitoring Value-at-Risk and Expected Shortfall ForecastsYannick Hoga, Matei Demetrescu被引 35高影响力 前 10%金融
A1Journal of Financial and Quantitative AnalysisFT50202059(6): 2515-2546The Smart Beta MirageShiyang Huang, Yang Song, Hong Xiang被引 31高影响力 前 10%开放获取金融
A+Operations ResearchUTD24FT50201866(5): 1189-1203A Stochastic Latent Moment Model for Electricity Price FormationAngelica Gianfreda, Derek W. Bunn被引 58高影响力 前 10%开放获取电气与电子工程
A+Review of Financial StudiesUTD24FT50201730(12): 4349-4388Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets GoldilocksOlivier Ledoit, Michael Wolf被引 303开放获取金融