{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,7,12]],"date-time":"2026-07-12T14:10:42Z","timestamp":1783865442535,"version":"3.55.0"},"reference-count":50,"publisher":"Springer Science and Business Media LLC","issue":"1-2","license":[{"start":{"date-parts":[[2023,5,30]],"date-time":"2023-05-30T00:00:00Z","timestamp":1685404800000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"},{"start":{"date-parts":[[2023,5,30]],"date-time":"2023-05-30T00:00:00Z","timestamp":1685404800000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Ann Oper Res"],"published-print":{"date-parts":[[2024,5]]},"DOI":"10.1007\/s10479-023-05396-1","type":"journal-article","created":{"date-parts":[[2023,5,30]],"date-time":"2023-05-30T09:04:58Z","timestamp":1685437498000},"page":"945-966","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":14,"title":["Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean\u2013variance mixture models"],"prefix":"10.1007","volume":"336","author":[{"given":"Nuerxiati","family":"Abudurexiti","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Kai","family":"He","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Dongdong","family":"Hu","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Svetlozar T.","family":"Rachev","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-4677-3204","authenticated-orcid":false,"given":"Hasanjan","family":"Sayit","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Ruoyu","family":"Sun","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"297","published-online":{"date-parts":[[2023,5,30]]},"reference":[{"key":"5396_CR1","doi-asserted-by":"publisher","first-page":"275","DOI":"10.1093\/jjfinec\/nbj006","volume":"4","author":"K Aas","year":"2006","unstructured":"Aas, K., & Haff, I. H. (2006). The generalized hyperbolic skew Student\u2019s $$t$$-distribution. Journal of Financial Econometrics, 4, 275\u2013309.","journal-title":"Journal of Financial Econometrics"},{"key":"5396_CR2","doi-asserted-by":"publisher","first-page":"1487","DOI":"10.1016\/S0378-4266(02)00283-2","volume":"26","author":"C Acerbi","year":"2002","unstructured":"Acerbi, C., & Tasche, D. (2002). On the coherence of expected shortfall. Journal of Banking and Finance, 26, 1487\u20131503.","journal-title":"Journal of Banking and Finance"},{"key":"5396_CR3","doi-asserted-by":"publisher","first-page":"597","DOI":"10.1007\/s10898-020-00922-y","volume":"78","author":"TD Akturk","year":"2020","unstructured":"Akturk, T. D., & Ararat, C. (2020). Portfolio optimization with two coherent risk measures. Journal of Global Optimization, 78, 597\u2013626.","journal-title":"Journal of Global Optimization"},{"key":"5396_CR4","doi-asserted-by":"publisher","first-page":"203","DOI":"10.1111\/1467-9965.00068","volume":"9","author":"P Artzner","year":"1999","unstructured":"Artzner, P., Delbaen, F., Eber, J. M., & Heath, D. (1999). Coherent measures of risk. Mathematical Finance, 9, 203\u2013228.","journal-title":"Mathematical Finance"},{"key":"5396_CR5","doi-asserted-by":"publisher","first-page":"57","DOI":"10.2469\/faj.v60.n2.2610","volume":"60","author":"TG Bali","year":"2004","unstructured":"Bali, T. G., & Cakici, N. (2004). Value at risk and expected stock returns. Financial Analysts Journal, 60, 57\u201373.","journal-title":"Financial Analysts Journal"},{"key":"5396_CR6","doi-asserted-by":"publisher","first-page":"41","DOI":"10.1007\/s007800050032","volume":"2","author":"OE Barndorff-Nielsen","year":"1997","unstructured":"Barndorff-Nielsen, O. E. (1997). Processes of normal inverse Gaussian type. Finance and Stochastics, 2, 41\u201368.","journal-title":"Finance and Stochastics"},{"key":"5396_CR7","doi-asserted-by":"crossref","unstructured":"Bingham, N. H. & Kiesel, R. (2001). Modelling asset returns with hyperbolic distributions. In Return distributions in finance (pp. 1\u201320). Elsevier.","DOI":"10.1016\/B978-075064751-9.50002-3"},{"key":"5396_CR8","doi-asserted-by":"publisher","first-page":"2165","DOI":"10.1111\/j.1540-6261.2011.01695.x","volume":"66","author":"T Bollerslev","year":"2011","unstructured":"Bollerslev, T., & Todorov, V. (2011). Tails, fears, and risk premia. The Journal of Finance, 66, 2165\u20132211.","journal-title":"The Journal of Finance"},{"key":"5396_CR9","first-page":"9","volume":"2","author":"N Bucay","year":"1999","unstructured":"Bucay, N., & Rosen, D. (1999). Credit risk of an international bond portfolio: A case study. ALGO Research Quarterly, 2, 9\u201329.","journal-title":"ALGO Research Quarterly"},{"key":"5396_CR10","doi-asserted-by":"publisher","first-page":"13","DOI":"10.1142\/S0219024905002767","volume":"8","author":"A Chekhlov","year":"2005","unstructured":"Chekhlov, A., Uryasev, S., & Zabarankin, M. (2005). Drawdown measure in portfolio optimization. International Journal of Theoretical and Applied Finance, 8, 13\u201358.","journal-title":"International Journal of Theoretical and Applied Finance"},{"key":"5396_CR11","doi-asserted-by":"publisher","first-page":"1","DOI":"10.21314\/JCF.2004.123","volume":"7","author":"R Cont","year":"2004","unstructured":"Cont, R., & Tankov, P. (2004). Nonparametric calibration of jump-diffusion option pricing models. The Journal of Computational Finance, 7, 1\u201349.","journal-title":"The Journal of Computational Finance"},{"key":"5396_CR12","doi-asserted-by":"publisher","first-page":"613","DOI":"10.1111\/j.1467-9965.2005.00253.x","volume":"15","author":"RA Dana","year":"2005","unstructured":"Dana, R. A. (2005). A representation result for concave Schur concave functions. Mathematical Finance: An International Journal of Mathematics, Statistics and Financial Economics, 15, 613\u2013634.","journal-title":"Mathematical Finance: An International Journal of Mathematics, Statistics and Financial Economics"},{"key":"5396_CR13","doi-asserted-by":"publisher","first-page":"7","DOI":"10.3905\/jod.1997.407971","volume":"4","author":"D Duffie","year":"1997","unstructured":"Duffie, D., & Pan, J. (1997). An overview of value at risk. Journal of Derivatives, 4, 7\u201349.","journal-title":"Journal of Derivatives"},{"key":"5396_CR14","doi-asserted-by":"crossref","unstructured":"Eberlein, E. & Keller, U. (1995). Hyperbolic distributions in finance. Bernoulli, 281\u2013299","DOI":"10.3150\/bj\/1193667819"},{"key":"5396_CR15","doi-asserted-by":"publisher","first-page":"429","DOI":"10.1007\/s007800200072","volume":"6","author":"H F\u00f6llmer","year":"2002","unstructured":"F\u00f6llmer, H., & Schied, A. (2002). Convex measures of risk and trading constraints. Finance and Stochastics, 6, 429\u2013447.","journal-title":"Finance and Stochastics"},{"key":"5396_CR16","doi-asserted-by":"crossref","unstructured":"Frittelli, M. & Gianin, E. R. (2005). Law invariant convex risk measures. In Advances in mathematical economics (pp. 33\u201346). Springer.","DOI":"10.1007\/4-431-27233-X_2"},{"key":"5396_CR17","doi-asserted-by":"publisher","first-page":"1473","DOI":"10.1016\/S0378-4266(02)00270-4","volume":"26","author":"M Frittelli","year":"2002","unstructured":"Frittelli, M., & Gianin, E. R. (2002). Putting order in risk measures. Journal of Banking and Finance, 26, 1473\u20131486.","journal-title":"Journal of Banking and Finance"},{"key":"5396_CR18","unstructured":"Hammerstein, E. (2010). Generalized hyperbolic distributions: Theory and applications to CDO pricing. Ph.D. thesis."},{"key":"5396_CR19","unstructured":"Heath, D. (2000). Back to the future. Plenary lecture: First World Congress of the Bachelier Finance Society, Paris."},{"key":"5396_CR20","doi-asserted-by":"publisher","first-page":"1503","DOI":"10.1080\/14697680903280483","volume":"11","author":"M Hellmich","year":"2011","unstructured":"Hellmich, M., & Kassberger, S. (2011). Efficient and robust portfolio optimization in the multivariate generalized hyperbolic framework. Quantitative Finance, 11, 1503\u20131516.","journal-title":"Quantitative Finance"},{"key":"5396_CR21","doi-asserted-by":"publisher","first-page":"47","DOI":"10.2469\/faj.v52.n6.2039","volume":"52","author":"P Jorion","year":"1996","unstructured":"Jorion, P. (1996). Risk2: Measuring the risk in value at risk. Financial Analysts Journal, 52, 47\u201356.","journal-title":"Financial Analysts Journal"},{"key":"5396_CR22","doi-asserted-by":"publisher","first-page":"356","DOI":"10.1016\/j.ejor.2013.10.060","volume":"234","author":"PN Kolm","year":"2014","unstructured":"Kolm, P. N., T\u00fct\u00fcnc\u00fc, R., & Fabozzi, F. J. (2014). 60 years of portfolio optimization: Practical challenges and current trends. European Journal of Operational Research, 234, 356\u2013371.","journal-title":"European Journal of Operational Research"},{"key":"5396_CR23","doi-asserted-by":"publisher","first-page":"205","DOI":"10.1007\/BF02282050","volume":"45","author":"H Konno","year":"1993","unstructured":"Konno, H., Shirakawa, H., & Yamazaki, H. (1993). A mean-absolute deviation-skewness portfolio optimization model. Annals of Operations Research, 45, 205\u2013220.","journal-title":"Annals of Operations Research"},{"key":"5396_CR24","doi-asserted-by":"publisher","first-page":"173","DOI":"10.15807\/jorsj.38.173","volume":"38","author":"H Konno","year":"1995","unstructured":"Konno, H., & Suzuki, K. (1995). A mean-variance-skewness portfolio optimization model. Journal of the Operation Research Society of Japan, 38, 173\u2013187.","journal-title":"Journal of the Operation Research Society of Japan"},{"key":"5396_CR25","doi-asserted-by":"publisher","first-page":"1003","DOI":"10.1016\/S0895-7177(01)00114-5","volume":"34","author":"TJ Kozubowski","year":"2001","unstructured":"Kozubowski, T. J., & Podg\u00f3rski, K. (2001). Asymmetric Laplace laws and modeling financial data. Mathematical and Computer Modelling, 34, 1003\u20131021.","journal-title":"Mathematical and Computer Modelling"},{"key":"5396_CR26","doi-asserted-by":"publisher","first-page":"310","DOI":"10.1016\/0377-2217(94)90099-X","volume":"74","author":"TJ Kozubowski","year":"1994","unstructured":"Kozubowski, T. J., & Rachev, S. T. (1994). The theory of geometric stable distributions and its use in modeling financial data. European Journal of Operational Research, 74, 310\u2013324.","journal-title":"European Journal of Operational Research"},{"key":"5396_CR27","doi-asserted-by":"crossref","unstructured":"Kusuoka, S. (2001). On law invariant coherent risk measures. In Advances in mathematical economics (pp. 83\u201395). Springer","DOI":"10.1007\/978-4-431-67891-5_4"},{"key":"5396_CR28","doi-asserted-by":"publisher","first-page":"739","DOI":"10.1016\/j.cam.2007.09.023","volume":"220","author":"Z Landsman","year":"2008","unstructured":"Landsman, Z. (2008). Minimization of the root of a quadratic functional under a system of affine equality constraints with application to portfolio management. Journal of Computational and Applied Mathematics, 220, 739\u2013748.","journal-title":"Journal of Computational and Applied Mathematics"},{"key":"5396_CR29","doi-asserted-by":"publisher","first-page":"308","DOI":"10.1007\/s10957-015-0856-z","volume":"170","author":"Z Landsman","year":"2016","unstructured":"Landsman, Z., & Makov, U. (2016). Minimization of a function of a quadratic functional with application to optimal portfolio selection. Journal of Optimization Theory and Applications, 170, 308\u2013322.","journal-title":"Journal of Optimization Theory and Applications"},{"key":"5396_CR30","doi-asserted-by":"publisher","first-page":"55","DOI":"10.1080\/10920277.2003.10596118","volume":"7","author":"ZM Landsman","year":"2003","unstructured":"Landsman, Z. M., & Valdez, E. A. (2003). Tail conditional expectations for elliptical distributions. North American Actuarial Journal, 7, 55\u201371.","journal-title":"North American Actuarial Journal"},{"key":"5396_CR31","doi-asserted-by":"publisher","first-page":"102","DOI":"10.1017\/S1365100597002046","volume":"1","author":"AW Lo","year":"1997","unstructured":"Lo, A. W., & MacKinlay, A. C. (1997). Maximizing predictability in the stock and bond markets. Macroeconomic Dynamics, 1, 102\u2013134.","journal-title":"Macroeconomic Dynamics"},{"key":"5396_CR32","doi-asserted-by":"crossref","unstructured":"Madan, D. B. & Seneta, E. (1990). The variance gamma (VG) model for share market returns. Journal of Business, 511\u2013524.","DOI":"10.1086\/296519"},{"key":"5396_CR33","volume-title":"Extreme financial risks: From dependence to risk management","author":"Y Malevergne","year":"2006","unstructured":"Malevergne, Y., & Sornette, D. (2006). Extreme financial risks: From dependence to risk management. New York: Springer."},{"key":"5396_CR34","unstructured":"Markowitz, H. M. (1959). Portfolio selection: Efficient diversification of investments (Vol. 16)."},{"key":"5396_CR35","volume-title":"Quantitative risk management: Concepts, techniques and tools-revised edition","author":"AJ McNeil","year":"2015","unstructured":"McNeil, A. J., Frey, R., & Embrechts, P. (2015). Quantitative risk management: Concepts, techniques and tools-revised edition. Princeton: Princeton University Press."},{"key":"5396_CR36","doi-asserted-by":"publisher","first-page":"267","DOI":"10.1093\/biomet\/80.2.267","volume":"80","author":"XL Meng","year":"1993","unstructured":"Meng, X. L., & Rubin, D. B. (1993). Maximum likelihood estimation via the ECM algorithm: A general framework. Biometrika, 80, 267\u2013278.","journal-title":"Biometrika"},{"key":"5396_CR37","doi-asserted-by":"publisher","first-page":"261","DOI":"10.1080\/07474939308800266","volume":"12","author":"S Mittnik","year":"1993","unstructured":"Mittnik, S., & Rachev, S. T. (1993). Modeling asset returns with alternative stable distributions. Econometric Reviews, 12, 261\u2013330.","journal-title":"Econometric Reviews"},{"key":"5396_CR38","doi-asserted-by":"publisher","first-page":"4428","DOI":"10.1016\/j.cam.2012.04.014","volume":"236","author":"I Owadally","year":"2011","unstructured":"Owadally, I. (2011). An improved closed-form solution for the constrained minimization of the root of a quadratic functional. Journal of Computational and Applied Mathematics, 236, 4428\u20134435.","journal-title":"Journal of Computational and Applied Mathematics"},{"key":"5396_CR39","doi-asserted-by":"publisher","first-page":"745","DOI":"10.1111\/j.1540-6261.1983.tb02499.x","volume":"38","author":"J Owen","year":"1983","unstructured":"Owen, J., & Rabinovitch, R. (1983). On the class of elliptical distributions and their applications to the theory of portfolio choice. The Journal of Finance, 38, 745\u2013752.","journal-title":"The Journal of Finance"},{"key":"5396_CR40","unstructured":"Prause, K., et al. (1999). The generalized hyperbolic model: Estimation, financial derivatives, and risk measures. Ph.D. thesis."},{"key":"5396_CR41","doi-asserted-by":"publisher","first-page":"201","DOI":"10.1023\/A:1007978820465","volume":"12","author":"M Pritsker","year":"1997","unstructured":"Pritsker, M. (1997). Evaluating value at risk methodologies: Accuracy versus computational time. Journal of Financial Services Research, 12, 201\u2013242.","journal-title":"Journal of Financial Services Research"},{"key":"5396_CR42","doi-asserted-by":"crossref","unstructured":"Rachev, S. T., Stoyanov, S. V., Biglova, A., & Fabozzi, F. J. (2005). An empirical examination of daily stock return distributions for US stocks. In Data analysis and decision support (pp. 269\u2013281). Springer.","DOI":"10.1007\/3-540-28397-8_30"},{"key":"5396_CR43","doi-asserted-by":"publisher","first-page":"21","DOI":"10.21314\/JOR.2000.038","volume":"2","author":"RT Rockafellar","year":"2000","unstructured":"Rockafellar, R. T., & Uryasev, S. (2000). Optimization of conditional value-at-risk. Journal of Risk, 2, 21\u201342.","journal-title":"Journal of Risk"},{"key":"5396_CR44","doi-asserted-by":"publisher","first-page":"1443","DOI":"10.1016\/S0378-4266(02)00271-6","volume":"26","author":"RT Rockafellar","year":"2002","unstructured":"Rockafellar, R. T., & Uryasev, S. (2002). Conditional value-at-risk for general loss distributions. Journal of Banking and Finance, 26, 1443\u20131471.","journal-title":"Journal of Banking and Finance"},{"key":"5396_CR45","doi-asserted-by":"publisher","DOI":"10.1002\/0470870230","volume-title":"L\u00e9vy processes in finance: Pricing financial derivatives","author":"W Schoutens","year":"2003","unstructured":"Schoutens, W. (2003). L\u00e9vy processes in finance: Pricing financial derivatives. New York: Wiley."},{"key":"5396_CR46","first-page":"1","volume":"24","author":"X Shi","year":"2021","unstructured":"Shi, X., & Kim, Y. S. (2021). Coherent risk measures and normal mixture distributions with applications in portfolio optimization. International Journal of Theoretical and Applied Finance (IJTAF), 24, 1\u201318.","journal-title":"International Journal of Theoretical and Applied Finance (IJTAF)"},{"key":"5396_CR47","doi-asserted-by":"publisher","first-page":"1329","DOI":"10.1007\/s11156-020-00928-3","volume":"156","author":"A Shirvani","year":"2021","unstructured":"Shirvani, A., Rachev, T. S., & Fabozzi, F. J. (2021). Multiple subordinated modeling of asset returns: Implications for option pricing. Review of Quantitative Finance and Accounting, 156, 1329\u20131342.","journal-title":"Review of Quantitative Finance and Accounting"},{"key":"5396_CR48","doi-asserted-by":"publisher","first-page":"1329","DOI":"10.1007\/s11156-020-00928-3","volume":"156","author":"A Shirvani","year":"2021","unstructured":"Shirvani, A., Stoyanov, S., Fabozzi, F., et al. (2021). Equity premium puzzle or faulty economic modelling? Review of Quantitative Finance and Accounting, 156, 1329\u20131342.","journal-title":"Review of Quantitative Finance and Accounting"},{"key":"5396_CR49","doi-asserted-by":"crossref","unstructured":"Uryasev, S. (2000). Conditional value-at-risk: Optimization algorithms and applications. In Proceedings of the IEEE\/IAFE\/INFORMS 2000 conference on computational intelligence for financial engineering (CIFEr) (Cat. No. 00TH8520) (pp. 49\u201357). IEEE.","DOI":"10.1109\/CIFER.2000.844598"},{"key":"5396_CR50","doi-asserted-by":"publisher","first-page":"727","DOI":"10.1007\/s10479-014-1654-y","volume":"226","author":"S Zhao","year":"2015","unstructured":"Zhao, S., Lu, Q., Han, L., Liu, Y., & Hu, F. (2015). A mean-CVaR-skewness portfolio optimization model based on asymmetric Laplace distribution. Annals of Operations Research, 226, 727\u2013739.","journal-title":"Annals of Operations Research"}],"container-title":["Annals of Operations Research"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-023-05396-1.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/article\/10.1007\/s10479-023-05396-1\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-023-05396-1.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,5,13]],"date-time":"2024-05-13T19:13:04Z","timestamp":1715627584000},"score":1,"resource":{"primary":{"URL":"https:\/\/link.springer.com\/10.1007\/s10479-023-05396-1"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2023,5,30]]},"references-count":50,"journal-issue":{"issue":"1-2","published-print":{"date-parts":[[2024,5]]}},"alternative-id":["5396"],"URL":"https:\/\/doi.org\/10.1007\/s10479-023-05396-1","relation":{},"ISSN":["0254-5330","1572-9338"],"issn-type":[{"value":"0254-5330","type":"print"},{"value":"1572-9338","type":"electronic"}],"subject":[],"published":{"date-parts":[[2023,5,30]]},"assertion":[{"value":"11 May 2023","order":1,"name":"accepted","label":"Accepted","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"30 May 2023","order":2,"name":"first_online","label":"First Online","group":{"name":"ArticleHistory","label":"Article History"}}]}}