1[1]Jorion P. Measuring the risk in value at risk[J]. Financial Analysts Journal, 1996,6(1): 47-56.
2[2]Uryasev S, Rockafellar R T. Optimization of conditional value-at-risk[R]. Technical Report 99-4, ISE Dep. University of Florida, 1999. 5-20.
3[3]Rockafeller R T, Uryasev S. Optimization of conditional value-at-risk[J]. Journal of Risk, 2000, 2(3): 21-41.
4[4]Markowitz. Portfolio Selection[J]. Journal of Finance, 1952, 7(1): 77-91.
5[8]Topaloglou N, Vladimirou H, Zenios S A. CVaR models with selective hedging for international asset allocation[J]. Journal of Banking and Finance, 2002, 26(7): 1 535-1 561.