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1

Capital Asset Pricing Model (CAPM) with drawdown measure

Zabarankin, Michael, Pavlikov, Konstantin, Uryasev, Stan

Journal:

European Journal of Operational Research

Year:

2014

Language:

english

File:

PDF, 904 KB

english, 2014

2

Conditional value-at-risk for general loss distributions

R.Tyrrell Rockafellar, Stanislav Uryasev

Journal:

Journal of Banking & Finance

Year:

2002

Language:

english

File:

PDF, 396 KB

english, 2002

3

Generalized deviations in risk analysis

R. Tyrrell Rockafellar, Stan Uryasev, Michael Zabarankin

Journal:

Finance and Stochastics

Year:

2006

Language:

english

File:

PDF, 216 KB

english, 2006

4

Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics

Chun, S. Y., Shapiro, A., Uryasev, S.

Journal:

Operations Research

Year:

2012

Language:

english

File:

PDF, 1.41 MB

english, 2012

5

Master funds in portfolio analysis with general deviation measures

R. Tyrrell Rockafellar, Stan Uryasev, Michael Zabarankin

Journal:

Journal of Banking & Finance

Year:

2006

Language:

english

File:

PDF, 378 KB

english, 2006

6

Equilibrium with investors using a diversity of deviation measures

R. Tyrrell Rockafellar, Stan Uryasev, M. Zabarankin

Journal:

Journal of Banking & Finance

Year:

2007

Language:

english

File:

PDF, 242 KB

english, 2007

7

[Applied Optimization] Stochastic Optimization: Algorithms and Applications Volume 54 ||

Uryasev, Stanislav, Pardalos, Panos M.

Year:

2001

Language:

english

File:

PDF, 34.11 MB

english, 2001

8

Hominids adapted to metabolize ethanol long before human-directed fermentation

Carrigan, Matthew A., Uryasev, Oleg, Frye, Carole B., Eckman, Blair L., Myers, Candace R., Hurley, Thomas D., Benner, Steven A.

Journal:

Proceedings of the National Academy of Sciences

Year:

2015

Language:

english

File:

PDF, 883 KB

english, 2015

9

DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION

CHEKHLOV, ALEXEI, URYASEV, STANISLAV, ZABARANKIN, MICHAEL

Journal:

International Journal of Theoretical and Applied Finance

Year:

2005

Language:

english

File:

PDF, 509 KB

english, 2005

10

Risk Management for Hedge Fund Portfolios

Krokhmal, Pavlo, Uryasev, Stanislav, Zrazhevsky, Grigory

Journal:

The Journal of Alternative Investments

Year:

2002

Language:

english

File:

PDF, 1.06 MB

english, 2002

11

Cash flow matching with risks controlled by buffered probability of exceedance and conditional value-at-risk

Shang, Danjue, Kuzmenko, Victor, Uryasev, Stan

Journal:

Annals of Operations Research

Year:

2016

Language:

english

File:

PDF, 563 KB

english, 2016

12

Risk management and optimization in finance

Pavlo Krokhmal, R. Tyrrell Rockafellar, Stan Uryasev

Journal:

Journal of Banking & Finance

Year:

2006

Language:

english

File:

PDF, 47 KB

english, 2006

13

Optimality conditions in portfolio analysis with general deviation measures

R. Tyrrell Rockafellar, Stan Uryasev, Michael Zabarankin

Journal:

Mathematical Programming

Year:

2006

Language:

english

File:

PDF, 250 KB

english, 2006

14

Development of an ENSO-based irrigation decision support tool for peanut production in the southeastern US

J.O. Paz, C.W. Fraisse, L.U. Hatch, A. Garcia y Garcia, L.C. Guerra, O. Uryasev, J.G. Bellow, J.W. Jones, G. Hoogenboom

Journal:

Computers and Electronics in Agriculture

Year:

2007

Language:

english

File:

PDF, 946 KB

english, 2007

15

[IEEE IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) - New York, NY, USA (26-28 March 2000)] Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520) - Conditional value-at-risk: optimization algorithms and applications

Year:

2000

Language:

english

File:

PDF, 454 KB

english, 2000

16

Financial prediction with constrained tail risk

A. Alexandre Trindade, Stan Uryasev, Alexander Shapiro, Grigory Zrazhevsky

Journal:

Journal of Banking & Finance

Year:

2007

Language:

english

File:

PDF, 292 KB

english, 2007

17

The fundamental risk quadrangle in risk management, optimization and statistical estimation

Rockafellar, R. Tyrrell, Uryasev, Stan

Journal:

Surveys in Operations Research and Management Science

Year:

2013

Language:

english

File:

PDF, 406 KB

english, 2013

18

Portfolios Dominating Indices: Optimization with Second-Order Stochastic Dominance Constraints vs. Minimum and Mean Variance Portfolios

Fidan Keçeci, Neslihan, Kuzmenko, Viktor, Uryasev, Stan

Journal:

Journal of Risk and Financial Management

Year:

2016

Language:

english

File:

PDF, 3.87 MB

english, 2016

19

The α-reliable mean-excess regret model for stochastic facility location modeling

Gang Chen, Mark S. Daskin, Zuo-Jun Max Shen, Stanislav Uryasev

Journal:

Naval Research Logistics (NRL)

Year:

2006

Language:

english

File:

PDF, 436 KB

english, 2006

20

Modeling and optimization of risk

Pavlo Krokhmal, Michael Zabarankin, Stan Uryasev

Journal:

Surveys in Operations Research and Management Science

Year:

2011

Language:

english

File:

PDF, 404 KB

english, 2011

21

Relating aviation service difficulty reports to accident data for safety trend prediction

Relph R. Fullwood, Robert E. Hall, Gerardo Martinez-Guridi, Stanislav Uryasev, S.G. Sampath

Journal:

Reliability Engineering & System Safety

Year:

1998

Language:

english

File:

PDF, 671 KB

english, 1998

22

Credit risk optimization with Conditional Value-at-Risk criterion

Fredrik Andersson, Helmut Mausser, Dan Rosen, Stanislav Uryasev

Journal:

Mathematical Programming

Year:

2001

Language:

english

File:

PDF, 99 KB

english, 2001

23

Optimal Security Liquidation Algorithms

Sergiy Butenko, Alexander Golodnikov, Stanislav Uryasev

Journal:

Computational Optimization and Applications

Year:

2005

Language:

english

File:

PDF, 1.83 MB

english, 2005

24

Jamming communication networks under complete uncertainty

Clayton W. Commander, Panos M. Pardalos, Valeriy Ryabchenko, Oleg Shylo, Stan Uryasev, Grigoriy Zrazhevsky

Journal:

Optimization Letters

Year:

2008

Language:

english

File:

PDF, 313 KB

english, 2008

25

Optimizing Crop Insurance under Climate Variability

Liu, Juan, Men, Chunhua, Cabrera, Victor E., Uryasev, Stan, Fraisse, Clyde W.

Journal:

Journal of Applied Meteorology and Climatology

Year:

2008

Language:

english

File:

PDF, 456 KB

english, 2008

26

WaterFootprint on AgroClimate: A dynamic, web-based tool for comparing agricultural systems

Dourte, Daniel R., Fraisse, Clyde W., Uryasev, Oxana

Journal:

Agricultural Systems

Year:

2014

Language:

english

File:

PDF, 2.13 MB

english, 2014

27

CVaR norm and applications in optimization

Pavlikov, Konstantin, Uryasev, Stan

Journal:

Optimization Letters

Year:

2014

Language:

english

File:

PDF, 584 KB

english, 2014

28

FEASIBILITY OF ULTRASOUND-GUIDED ULNAR NERVE INJECTIONS AT THE CUBITAL TUNNEL USING A LATERAL-TO-MEDIAL APPROACH

Plessl, Daniel, Summey, Robert, Joseph, Oliver, Uryasev, Oleg, McNamara, John P., Dallas, Apostolos Paul

Journal:

Journal of Musculoskeletal Research

Year:

2014

Language:

english

File:

PDF, 350 KB

english, 2014

29

Asset/Liability Management for Pension Funds Using CVaR Constraints

BOGENTOFT, ERIK, EDWIN ROMEIJN, H., URYASEV, STANISLAV

Journal:

The Journal of Risk Finance

Year:

2001

Language:

english

File:

PDF, 633 KB

english, 2001

30

Deviation Measures in Risk Analysis and Optimization

Rockafellar, Tyrrell R., Uryasev, Stanislav P., Zabarankin, Michael

Journal:

SSRN Electronic Journal

Year:

2003

Language:

english

File:

PDF, 296 KB

english, 2003

31

TIBIAL NERVE PERINEURAL INJECTIONS AT THE POSTERIOR TARSAL TUNNEL

Joseph, Oliver C., Uryasev, Oleg, McNamara, John P., Dallas, Apostolos P.

Journal:

Journal of Musculoskeletal Research

Year:

2013

Language:

english

File:

PDF, 3.80 MB

english, 2013

32

Risk‐return optimization with different risk‐aggregation strategies

Uryasev, Stan, Theiler, Ursula A., Serraino, Gaia

Journal:

The Journal of Risk Finance

Year:

2010

Language:

english

File:

PDF, 204 KB

english, 2010

33

CVaR distance between univariate probability distributions and approximation problems

Pavlikov, Konstantin, Uryasev, Stan

Journal:

Annals of Operations Research

Year:

2018

Language:

english

File:

PDF, 615 KB

english, 2018

34

Portfolio Optimization with Drawdown Constraints

Chekhlov, Alexei, Uryasev, Stanislav P., Zabarankin, Michael

Journal:

SSRN Electronic Journal

Year:

2000

Language:

english

File:

PDF, 103 KB

english, 2000

35

Maximization of AUC and Buffered AUC in binary classification

Norton, Matthew, Uryasev, Stan

Journal:

Mathematical Programming

Year:

2018

Language:

english

File:

PDF, 1.27 MB

english, 2018

36

Peer-To-Peer Lending: Classification in the Loan Application Process

Wei, Xinyuan, Gotoh, Jun-ya, Uryasev, Stan

Journal:

Year:

2018

Language:

english

File:

PDF, 495 KB

english, 2018

37

Estimation of Truncated Data Samples in Operational Risk Modeling

Ergashev, Bakhodir, Pavlikov, Konstantin, Uryasev, Stanislav P., Sekeris, Evangelos

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 2.37 MB

english, 2012

38

Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation

Norton, Matthew, Khokhlov, Valentyn, Uryasev, Stan

Journal:

Annals of Operations Research

Year:

2019

File:

PDF, 974 KB

2019

39

Minimizing buffered probability of exceedance by progressive hedging

Rockafellar, R. Tyrrell, Uryasev, Stan

Journal:

Mathematical Programming

Year:

2020

Language:

english

File:

PDF, 393 KB

english, 2020

40

Application of Buffered Probability of Exceedance in Reliability Optimization Problems*

Zrazhevsky, G. M., Golodnikov, A. N., Uryasev, S. P., Zrazhevsky, A. G.

Journal:

Cybernetics and Systems Analysis

Year:

2020

File:

PDF, 243 KB

2020

41

CoCDaR and mCoCDaR: New Approach for Measurement of Systemic Risk Contributions

Ding, Rui, Uryasev, Stan

Journal:

Journal of Risk and Financial Management

Year:

2020

File:

PDF, 858 KB

2020

42

Credit cards scoring with quadratic utility functions

Vladimir Bugera, Hiroshi Konno, Stanislav Uryasev

Journal:

Journal of Multi-Criteria Decision Analysis

Year:

2002

Language:

english

File:

PDF, 291 KB

english, 2002

43

Failure of emergency diesel generators: a population analysis using empirical Bayes methods

W.E. Vesely, S.P. Uryasev, P.K. Samanta

Journal:

Reliability Engineering & System Safety

Year:

1994

Language:

english

File:

PDF, 785 KB

english, 1994

44

A sample-path approach to optimal position liquidation

Pavlo Krokhmal, Stanislav Uryasev

Journal:

Annals of Operations Research

Year:

2007

Language:

english

File:

PDF, 846 KB

english, 2007

45

Optimal crop planting schedules and financial hedging strategies under ENSO-based climate forecasts

Farid AitSahlia, Chung-Jui Wang, Victor E. Cabrera, Stan Uryasev, Clyde W. Fraisse

Journal:

Annals of Operations Research

Year:

2011

Language:

english

File:

PDF, 665 KB

english, 2011

46

Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization

Churlzu Lim, Hanif D. Sherali, Stan Uryasev

Journal:

Computational Optimization and Applications

Year:

2010

Language:

english

File:

PDF, 646 KB

english, 2010

47

Pricing European Options by Numerical Replication: Quadratic Programming with Constraints

Valeriy Ryabchenko, Sergey Sarykalin, Stan Uryasev

Journal:

Asia-Pacific Financial Markets

Year:

2004

Language:

english

File:

PDF, 441 KB

english, 2004

48

The wireless network jamming problem

Clayton W. Commander, Panos M. Pardalos, Valeriy Ryabchenko, Stan Uryasev, Grigoriy Zrazhevsky

Journal:

Journal of Combinatorial Optimization

Year:

2007

Language:

english

File:

PDF, 798 KB

english, 2007

49

Robust multi-sensor scheduling for multi-site surveillance

Nikita Boyko, Timofey Turko, Vladimir Boginski, David E. Jeffcoat, Stanislav Uryasev, Grigoriy Zrazhevsky, Panos M. Pardalos

Journal:

Journal of Combinatorial Optimization

Year:

2011

Language:

english

File:

PDF, 573 KB

english, 2011

50

Relaxation algorithms to find Nash equilibria with economic applications

Jacek B. Krawczyk, Stanislav Uryasev

Journal:

Environmental Modeling and Assessment

Year:

2000

Language:

english

File:

PDF, 192 KB

english, 2000