This work is licensed under a
Creative Commons Attribution 4.0 International License
 P. Artzner, F. Delbaen, J.M. Eber, D. Heath, Coherent Measures of Risk, Mathematical Finance, 9, 203-228 (1999).DOI: https://doi.org/10.1111/1467-9965.00068
 H.M. Markowitz, Portfolio Selection, Journal of Finance, 7(1), 77–91 (1952).
 L. Martinelli, K. Simsek, F. Goltz, Structured forms of investment strategies in institutional investors' portfolios, EDHEC Risk and Asset Management Research Centre, April (2005).
 R.T. Rockafellar, S. Uryasev, Optimization of Conditional Value-at-Risk, Journal of Risk, 2, 21-41 (2000).
 R.T. Rockafellar, S. Uryasev, Conditional Value-at-Risk for General Loss Distributions, Research Report 2001-5, ISE Dept., University of Florida, April, (2001).
 Sharpe, William F., The Sharpe Ratio, Journal of Portfolio Management, Fall, 49–58 (1994).
 G. Frahm, F. Huber, "The Outperformance Probability of Mutual Funds", Journal of Risk and Financial Management, Vol. 12, p. 108, 2019DOI: https://doi.org/10.3390/jrfm12030108