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Discrete-Time Mean-CVaR Portfolio Selection and Time-Consistency Induced Term Structure of the CVaR
Strub, Moris Simon, (2017)
Dynamic Mean-Risk Portfolio Selection with Multiple Risk Measures in Continuous-Time
Gao, Jianjun, (2014)
Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
Strub, Moris S., (2019)