[12] J.Berkowitz, J.O’Brien. How accurate are value-at-risk models at commercial banks? [J]. Journal of Finance, 2002, 57, 1093–1111.

[13] N.D.Pearson. Risk Budgeting: Portfolio Problem Solving with Value-at-Risk[M]. John Wiley and Sons, New York,. 2002.

[14] P .Artzner, F. Delbaen, J. M.Eber, D. Heath．Coherent measures of risk[J]．Mathematical Finance，1999，9(3)：203-228．

[15]H. Mauser, D. Rosen. Beyond VaR from measuring risk to managing risk[J]．ALGO Research Quarterly，1999，1(2)：5-10．

[16] G.J.Alexander, A.M. Baptista. Does the Basle capital accord reduce bank fragility? An assessment of the value-at-risk approach[J]. Journal of Monetary Economics,2006,53, 1631–1660

[17] G.J.Alexander, A.M. Baptista. Does the Basle capital accord reduce bank fragility? An assessment of the value-at-risk approach[J]. Journal of Monetary Economics,2006,53, 1631–1660.

[18]P.Krokhmal, J.Palmquist, S.Uryasev. Portfolio optimization with conditional value-at-risk objective and constraints[J]. Journal of Risk, 2002.4, 11–27.

[19]R.T.Rockafellar, S.Uryasev. Conditional value-at-risk for general loss distributions[J]. Journal of Banking and Finance, 2002.26, 1443–1471.

[20]V.Agarwal, N.Y.Naik. Risks and portfolio decisions involving hedge funds[J]. Review of Financial Studies,2004, 17, 63–98.

[21]D.Bertsimas, G.Lauprete, A. Samarov.. Shortfall as a risk measure: Properties and optimization[J]. Journal of Economic Dynamics and Control, 2004,28, 1353–1381.

[22] E.Sentana Mean–variance portfolio allocation with a value at risk constraint[J]. Revista de Economı´a Financiera, 2003.1, 4–14.

[23] G.J.Alexander, A.M.Baptista. A comparison of VaR and CVaR constraints on portfolio selection with the mean–variance model[J]. Management Science, 2004,50, 1261–1273.