Theo dõi
Stan Uryasev
Stan Uryasev
Professor, Stony Brook University
Email được xác minh tại stonybrook.edu - Trang chủ
Tiêu đề
Trích dẫn bởi
Trích dẫn bởi
Năm
Optimization of conditional value-at-risk
RT Rockafellar, S Uryasev
Journal of risk 2, 21-42, 2000
93142000
Conditional value-at-risk for general loss distributions
RT Rockafellar, S Uryasev
Journal of banking & finance 26 (7), 1443-1471, 2002
56432002
Portfolio optimization with conditional value-at-risk objective and constraints
P Krokhmal, J Palmquist, S Uryasev
Journal of risk 4, 43-68, 2002
11522002
Generalized deviations in risk analysis
RT Rockafellar, S Uryasev, M Zabarankin
Finance and Stochastics 10, 51-74, 2006
7182006
Conditional value-at-risk: Optimization algorithms and applications
S Uryasev
proceedings of the IEEE/IAFE/INFORMS 2000 conference on computational …, 2000
7002000
Value-at-risk vs. conditional value-at-risk in risk management and optimization
S Sarykalin, G Serraino, S Uryasev
State-of-the-art decision-making tools in the information-intensive age, 270-294, 2008
6392008
Credit risk optimization with conditional value-at-risk criterion
F Andersson, H Mausser, D Rosen, S Uryasev
Mathematical programming 89, 273-291, 2001
5322001
Drawdown measure in portfolio optimization
A Chekhlov, S Uryasev, M Zabarankin
International Journal of Theoretical and Applied Finance 8 (01), 13-58, 2005
4332005
The fundamental risk quadrangle in risk management, optimization and statistical estimation
RT Rockafellar, S Uryasev
Surveys in Operations Research and Management Science 18 (1-2), 33-53, 2013
3062013
Deviation measures in risk analysis and optimization
RT Rockafellar, SP Uryasev, M Zabarankin
University of Florida, Department of Industrial & Systems Engineering …, 2002
3042002
Relaxation algorithms to find Nash equilibria with economic applications
JB Krawczyk, S Uryasev
Environmental Modeling & Assessment 5, 63-73, 2000
3042000
Modeling and optimization of risk
P Krokhmal, M Zabarankin, S Uryasev
Surveys in operations research and management science 16 (2), 49-66, 2011
2822011
Portfolio optimization with drawdown constraints
A Chekhlov, S Uryasev, M Zabarankin
Supply chain and finance, 209-228, 2004
2122004
Algorithms for optimization of value-at-risk
N Larsen, H Mausser, S Uryasev
Financial engineering, E-commerce and supply chain, 19-46, 2002
1872002
Optimization of conditional value at risk
S Uryasev, RT Rockafellar
JOURNAL OF RISK 3, 21-41, 2000
1652000
Probabilistic constrained optimization: methodology and applications
S Uryasev
Springer Science & Business Media, 2013
1642013
Optimal risk path algorithms
M Zabarankin, S Uryasev, P Pardalos
Cooperative control and optimization, 273-298, 2002
1642002
Conditional value-at-risk: optimization approach
S Uryasev, RT Rockafellar
Stochastic optimization: algorithms and applications, 411-435, 2001
1642001
Capital asset pricing model (CAPM) with drawdown measure
M Zabarankin, K Pavlikov, S Uryasev
European Journal of Operational Research 234 (2), 508-517, 2014
1582014
Asset/liability management for pension funds using CVaR constraints
E Bogentoft, H Edwin Romeijn, S Uryasev
The Journal of Risk Finance 3 (1), 57-71, 2001
1572001
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