---
title: "Expected shortfall (CVaR): formula and 24 recent papers"
description: "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."
url: https://scholar4ai.com/equations/expected-shortfall-cvar
markdown_url: https://scholar4ai.com/equations/expected-shortfall-cvar.md
license: CC BY-NC 4.0 (https://creativecommons.org/licenses/by-nc/4.0/)
share_text: "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."
data_url: https://scholar4ai.com/data/rankings.json
updated: 2026-10-26T14:52:47+09:00
window: 2026-09-27 to 2026-10-26
source: OpenAlex (CC0)
---

# Expected shortfall (CVaR)

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

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

- area: Asset pricing and risk
- 1 papers in the last 7 days
- Names searched for: expected shortfall, conditional value at risk, CVaR

Back to the ranking: https://scholar4ai.com/rankings/equations.md

## 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 Oct 2023 to Sep 2026, 234 archived papers mentioned Expected shortfall (CVaR) in their title, abstract or keywords, most of them in Oct 2024 (16).

## Mentions over 36 months

*Papers mentioning it by publication month, Oct 2023 to Sep 2026 (titles, abstracts and keywords)*

| Trend | Oct 23–Sep 24 | Oct 24–Sep 25 | Oct 25–Sep 26 | 36 months |
|---|---:|---:|---:|---:|
|  | 110 | 98 | 26 | 234 |

*Papers mentioning Expected shortfall (CVaR), newest first.*

| Date | Title | Journal | Authors | Affiliations |
|---|---|---|---|---|
| 2026-10-24 | [Optimal Portfolio Allocation with Gromov-Wasserstein Barycenter](https://doi.org/10.1007/s10614-026-11445-1) | [Computational Economics](https://scholar4ai.com/journals/computational-economics.md) | 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](https://doi.org/10.1007/s10479-026-07450-0) | [Annals of Operations Research](https://scholar4ai.com/journals/annals-of-operations-research.md) | 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](https://doi.org/10.1016/j.irfa.2026.105461) | [International Review of Financial Analysis](https://scholar4ai.com/journals/international-review-of-financial-analysis.md) | 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](https://doi.org/10.1007/s10489-026-07534-1) | [Applied Intelligence](https://scholar4ai.com/journals/applied-intelligence.md) | Chunhui Xu, Chundi Hu | Zhejiang Ocean University |
| 2026-10-14 | [Disutility-based systemic expected shortfall for heavy-tailed losses: Asymptotic independence versus asymptotic dependence](https://doi.org/10.1016/j.insmatheco.2026.103310) | [Insurance Mathematics and Economics](https://scholar4ai.com/journals/insurance-mathematics-and-economics.md) | 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](https://doi.org/10.1016/j.trb.2026.103611) | [Transportation Research Part B Methodological](https://scholar4ai.com/journals/transportation-research-part-b-methodological.md) | 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](https://doi.org/10.1016/j.frl.2026.110928) | [Finance research letters](https://scholar4ai.com/journals/finance-research-letters.md) | Mansoora Ahmed, Syed Ali Raza, Karim Oueslati | Yango University; Iqra University; Paris School of Business |
| 2026-10-13 | [The Implementation Gap in Portfolio Optimisation](https://doi.org/10.5281/zenodo.23340007) | [Financial Innovation](https://scholar4ai.com/journals/financial-innovation.md) | Mohamad Hassan |  |
| 2026-10-10 | [A fair profit distribution as a resilient strategy in supply chains under ripple effect](https://doi.org/10.1007/s10696-026-09689-y) | [Flexible Services and Manufacturing Journal](https://scholar4ai.com/journals/flexible-services-and-manufacturing-journal.md) | 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](https://doi.org/10.1016/j.eswa.2026.134692) | [Expert Systems with Applications](https://scholar4ai.com/journals/expert-systems-with-applications.md) | 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](https://doi.org/10.1007/s10479-026-07445-x) | [Annals of Operations Research](https://scholar4ai.com/journals/annals-of-operations-research.md) | 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](https://doi.org/10.1007/s10614-026-11430-8) | [Computational Economics](https://scholar4ai.com/journals/computational-economics.md) | 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](https://doi.org/10.1007/s00521-026-12617-8) | [Neural Computing and Applications](https://scholar4ai.com/journals/neural-computing-and-applications.md) | 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](https://doi.org/10.1016/j.orl.2026.107546) | [Operations Research Letters](https://scholar4ai.com/journals/operations-research-letters.md) | 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](https://doi.org/10.1016/j.ijforecast.2026.08.007) | [International Journal of Forecasting](https://scholar4ai.com/journals/international-journal-of-forecasting.md) | 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](https://doi.org/10.1007/s00521-026-12497-y) | [Neural Computing and Applications](https://scholar4ai.com/journals/neural-computing-and-applications.md) | 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](https://doi.org/10.1016/j.tre.2026.105296) | [Transportation Research Part E Logistics and Transportation Review](https://scholar4ai.com/journals/transportation-research-part-e-logistics-and-transportation-review.md) | Monit Sharma, Hoong Chuin LAU |  |
| 2026-10-01 | [Optimization under uncertainty for energy infrastructure planning: A synthesis of methods, tools, and open challenges](https://doi.org/10.1016/j.ejor.2026.10.008) | [European Journal of Operational Research](https://scholar4ai.com/journals/european-journal-of-operational-research.md) | 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](https://doi.org/10.1016/j.ijforecast.2026.09.011) | [International Journal of Forecasting](https://scholar4ai.com/journals/international-journal-of-forecasting.md) | Alessandra Amendola, Vincenzo Candila, Antonio Naimoli et al. |  |
| 2026-09-30 | [Research in memory of Professor William T. Ziemba](https://doi.org/10.1007/s10479-026-07391-8) | [Annals of Operations Research](https://scholar4ai.com/journals/annals-of-operations-research.md) | 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](https://doi.org/10.1016/j.eneco.2026.109627) | [Energy Economics](https://scholar4ai.com/journals/energy-economics.md) | 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](https://doi.org/10.1016/j.jfds.2026.100206) | [The Journal of Finance and Data Science](https://scholar4ai.com/journals/the-journal-of-finance-and-data-science.md) | 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](https://doi.org/10.1016/j.iref.2026.105876) | [International Review of Economics & Finance](https://scholar4ai.com/journals/international-review-of-economics-finance.md) | Suresh Rajendran, Divya Singaravelu |  |
| 2026-09-29 | [Skilled labor mobility and bank default](https://doi.org/10.1016/j.jfs.2026.101599) | [Journal of Financial Stability](https://scholar4ai.com/journals/journal-of-financial-stability.md) | 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

```bibtex
@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}
}
```

License: CC BY-NC 4.0 (https://creativecommons.org/licenses/by-nc/4.0/).