Expected shortfall (CVaR)

area: Asset pricing and risk · 1 papers in the last 7 days

\mathrm{ES}_\alpha(L) = \frac{1}{1 - \alpha}\int_\alpha^{1} \mathrm{VaR}_u(L)\,du

Average loss in the worst 1 - alpha share of outcomes; also called conditional value at risk.

LaTeX: \mathrm{ES}_\alpha(L) = \frac{1}{1 - \alpha}\int_\alpha^{1} \mathrm{VaR}_u(L)\,du

Names searched for: expected shortfall, conditional value at risk, CVaR

Key findings

Expected shortfall (CVaR) was mentioned in 24 papers in the last 30 days (2026-09-27 to 2026-10-26), ranking #39 of the 104 equations and models mentioned.
By journal category: Operations Research (8), Finance (7), Economics (5) and AI (4).
Most of them appeared in Annals of Operations Research (3), Computational Economics (2) and Neural Computing and Applications (2).
Often mentioned together with Value at risk (VaR) (17), Linear and integer programming (8) and GARCH (6).
Datasets named in the same papers: OR-Library (3), VIX (2) and S&P 500 (2).
From Apr 2024 to Sep 2026, 168 archived papers mentioned Expected shortfall (CVaR) in their title, abstract or keywords, most of them in Oct 2024 (16).

Mentions over 30 months

Papers mentioning it by publication month, Apr 2024 to Sep 2026 (titles, abstracts and keywords)
Trend	Apr 24–Sep 24	Oct 24–Sep 25	Oct 25–Sep 26	30 months
	44	98	26	168

Papers mentioning Expected shortfall (CVaR), newest first.
Date	Title	Journal	Authors	Affiliations
2026-10-24	Optimal Portfolio Allocation with Gromov-Wasserstein Barycenter	Computational Economics	Alessandro Spelta, Nicoló Pecora, Mario Maggi	University of Pavia
2026-10-19	Optimizing product return timing in integrated viable circular manufacturing systems: a two-stage stochastic approach	Annals of Operations Research	Sobhan Mostafayi Darmian, Fabio Sgarbossa	Norwegian University of Science and Technology
2026-10-18	Forecasting Bitcoin realized volatility under regime switching and delayed mean reversion	International Review of Financial Analysis	Zidong Huang, Sidan Wang, Zhong-Wei Liao	Beijing Normal University
2026-10-17	MO-UDRL-H: hybrid Pareto-safe distributional reinforcement learning for multi-objective cloud task allocation	Applied Intelligence	Chunhui Xu, Chundi Hu	Zhejiang Ocean University
2026-10-14	Disutility-based systemic expected shortfall for heavy-tailed losses: Asymptotic independence versus asymptotic dependence	Insurance Mathematics and Economics	Yang Yang, Keya Zhang, Hong Li et al.	Nanjing Audit University; Xi’an Jiaotong-Liverpool University
2026-10-14	Modeling and simulating human behavior in large-scale emergency evacuations: A comprehensive review	Transportation Research Part B Methodological	Shiva Moslemi, Ada Arıkanoğlu, Vedat Bayram et al.
2026-10-13	Climate-transition narratives and downside tail risk in carbon and energy markets: evidence from a GARCH-MIDAS framework	Finance research letters	Mansoora Ahmed, Syed Ali Raza, Karim Oueslati	Yango University; Iqra University; Paris School of Business
2026-10-13	The Implementation Gap in Portfolio Optimisation	Financial Innovation	Mohamad Hassan
2026-10-10	A fair profit distribution as a resilient strategy in supply chains under ripple effect	Flexible Services and Manufacturing Journal	Tadeusz J. Sawik	Indian Institute of Technology Bombay
2026-10-10	Mitigating GPU fragmentation and tail delay in edge computing: A liquid-driven graph reinforcement learning algorithm	Expert Systems with Applications	Xiao He, Shanchen Pang, Kuijie Zhang et al.	China University of Petroleum, East China; Qingdao University of Technology; Tiangong University
2026-10-06	Optimization modeling in business and government: in honor of Professor John M. Mulvey on his 80th birthday	Annals of Operations Research	David A. Saunders, Stavros A. Zenios	University of Waterloo; Durham University; University of Cyprus
2026-10-03	Tail Dependence in EU Carbon Markets: Graphical Models of Extremes for EUA Futures	Computational Economics	Jan Maciejowski, Manuele Leonelli	IE University
2026-10-01	Robust identifying of VPPs borders with optimal allocation of distributed energy resources for profit maximization by artificial hummingbird algorithm	Neural Computing and Applications	Fekry Awad, Ragab Abdelaziz El-Sehiemy, Ghada M. Amer et al.	Benha University; Kafrelsheikh University; Széchenyi István University
2026-10-01	Distributionally Robust Optimization with Integer Recourse: Convex Reformulations and Critical Recourse Decisions	Operations Research Letters	Yiling Zhang, Zhe Li, Eojin Han	University of Minnesota; University of Notre Dame
2026-10-01	High-dimensional portfolio optimization with weight constraints: Forecasting models utilizing GARCH-EVT, R-vine copula, and SCAD penalty	International Journal of Forecasting	Jian Lv, Chenxu Wang, Wenyong Yuan	Zhejiang University of Finance and Economics
2026-10-01	Decision-aware end-to-end joint modeling for supply chain optimization: integrating prediction, simulation, and robustness verification	Neural Computing and Applications	Yumin Sun, Xiangfeng Liu	Henan Polytechnic; Wuhan Donghu University
2026-10-01	Securing the flow: Strategic storage and corridor design for maritime energy security under chokepoint disruptions	Transportation Research Part E Logistics and Transportation Review	Monit Sharma, Hoong Chuin LAU
2026-10-01	Optimization under uncertainty for energy infrastructure planning: A synthesis of methods, tools, and open challenges	European Journal of Operational Research	Rahman Khorramfar, Aron Brenner, Lara Booth et al.	Massachusetts Institute of Technology
2026-10-01	Combining value-at-risk and expected-shortfall forecasts via the model confidence set	International Journal of Forecasting	Alessandra Amendola, Vincenzo Candila, Antonio Naimoli et al.
2026-09-30	Research in memory of Professor William T. Ziemba	Annals of Operations Research	Sébastien Lleo, Leonard C. MacLean	NEOMA Business School; Dalhousie University
2026-09-30	Day-ahead market scheduling strategy of a virtual power plant under the single imbalance pricing scheme via stochastic robust optimization	Energy Economics	Álvaro García-Cerezo, Petra Miljan, Hrvoje Pandžić	University of Castilla-La Mancha; University of Zagreb; Faculty of Electrical Engineering and Computing in Zagreb
2026-09-30	Oil prices and the pricing of green equity ETFs: Evidence on greenium dynamics	The Journal of Finance and Data Science	José Alejandro Fernández Fernández, Miguel Ángel Casquet, Sonia Quiroga	Universidad Complutense de Madrid
2026-09-30	Order-flow toxicity in cryptocurrency perpetual futures: Order flow signals, price-impact persistence, and the limits of volatility-based metrics	International Review of Economics & Finance	Suresh Rajendran, Divya Singaravelu
2026-09-29	Skilled labor mobility and bank default	Journal of Financial Stability	Yuna Heo, Akif Midilli, Steven R. G. Ongena	University of Basel; Swiss Finance Institute; University of Zurich; …

Cite this page

Scholar4AI. (2026). Expected shortfall (CVaR). Journal Research Rankings. Retrieved October 26, 2026, from https://scholar4ai.com/equations/expected-shortfall-cvar

@misc{scholar4ai-equations-expected-shortfall-cvar,
  author = {{Scholar4AI}},
  title = {Expected shortfall (CVaR)},
  year = {2026},
  howpublished = {\url{https://scholar4ai.com/equations/expected-shortfall-cvar}},
  urldate = {2026-10-26},
  note = {Journal Research Rankings; data from OpenAlex (CC0); licensed CC BY-NC 4.0}
}

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