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Stan Uryasev
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Cited by
Year
Optimization of conditional value-at-risk
RT Rockafellar, S Uryasev
Journal of risk 2, 21-42, 2000
72172000
Conditional value-at-risk for general loss distributions
RT Rockafellar, S Uryasev
Journal of banking & finance 26 (7), 1443-1471, 2002
44922002
Portfolio optimization with conditional value-at-risk objective and constraints
P Krokhmal, J Palmquist, S Uryasev
Journal of risk 4, 43-68, 2002
9992002
Conditional value-at-risk: Optimization algorithms and applications
S Uryasev
proceedings of the IEEE/IAFE/INFORMS 2000 conference on computationalá…, 2000
6302000
Generalized deviations in risk analysis
RT Rockafellar, S Uryasev, M Zabarankin
Finance and Stochastics 10 (1), 51-74, 2006
5872006
Credit risk optimization with conditional value-at-risk criterion
F Andersson, H Mausser, D Rosen, S Uryasev
Mathematical programming 89 (2), 273-291, 2001
4912001
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
4292008
Drawdown measure in portfolio optimization
A Chekhlov, S Uryasev, M Zabarankin
International Journal of Theoretical and Applied Finance 8 (01), 13-58, 2005
3472005
Deviation measures in risk analysis and optimization
RT Rockafellar, SP Uryasev, M Zabarankin
University of Florida, Department of Industrial & Systems Engineeringá…, 2002
2692002
Relaxation algorithms to find Nash equilibria with economic applications
JB Krawczyk, S Uryasev
Environmental Modeling & Assessment 5 (1), 63-73, 2000
2592000
Modeling and optimization of risk
P Krokhmal, M Zabarankin, S Uryasev
Handbook of the fundamentals of financial decision making: Part II, 555-600, 2013
2312013
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
2112013
Probabilistic constrained optimization: methodology and applications
SP UrÔs' ev
Springer Science & Business Media, 2000
1902000
Portfolio optimization with drawdown constraints
A Chekhlov, S Uryasev, M Zabarankin
Supply chain and finance, 209-228, 2004
1692004
Algorithms for optimization of value-at-risk
N Larsen, H Mausser, S Uryasev
Financial engineering, E-commerce and supply chain, 19-46, 2002
1692002
Optimization of conditional value-at-risk
S Uryasev, RT Rockafellar
Department of Industrial & Systems Engineering, University of Florida, 1999
1691999
Optimal risk path algorithms
M Zabarankin, S Uryasev, P Pardalos
Cooperative control and optimization, 273-298, 2002
1532002
The α‐reliable mean‐excess regret model for stochastic facility location modeling
G Chen, MS Daskin, ZJM Shen, S Uryasev
Naval Research Logistics (NRL) 53 (7), 617-626, 2006
1462006
Master funds in portfolio analysis with general deviation measures
RT Rockafellar, S Uryasev, M Zabarankin
Journal of Banking & Finance 30 (2), 743-778, 2006
1412006
Master funds in portfolio analysis with general deviation measures
RT Rockafellar, S Uryasev, M Zabarankin
Journal of Banking & Finance 30 (2), 743-778, 2006
1412006
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