Stan Uryasev

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21 articles

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R T RockafellarProfessor of Mathematics, University of WashingtonAdresse e-mail validée de uw.edu
Michael ZabarankinAssociate Professor of Mathematical Sciences, Stevens Institute of TechnologyAdresse e-mail validée de stevens.edu
RA MurpheyGeorgia Tech Research InstituteAdresse e-mail validée de gtri.gatech.edu
Alexei ChekhlovAdjunct Professor, Columbia University; Physics R&D, Dassault SystemesAdresse e-mail validée de nyc.rr.com
Alexander ShapiroProfessor, Georgia TechAdresse e-mail validée de isye.gatech.edu
Clayton W. CommanderUniversity of North Carolina at Chapel HillAdresse e-mail validée de med.unc.edu
Mark DaskinProfessor of Industrial and Operations Engineering, University of MichiganAdresse e-mail validée de umich.edu
Ursula TheilerRisk Training, PresidentAdresse e-mail validée de ursula-theiler.de
Jacek B KrawczykHonorary Associate Professor, The University of Sydney, School of Mathematics and StatisticsAdresse e-mail validée de sydney.edu.au
Vladimir BoginskiUniversity of Central FloridaAdresse e-mail validée de ucf.edu
Hanif D. SheraliVirginia TechAdresse e-mail validée de vt.edu
Alexander VeremyevResearch Assistant ProfessorAdresse e-mail validée de ucf.edu
So Yeon ChunAssociate Professor of Technology and Operations Management, INSEADAdresse e-mail validée de insead.edu
Sergiy ButenkoProfessor of Industrial and Systems Engineering, Texas A&M UniversityAdresse e-mail validée de tamu.edu
Farid AitSahliaassistant professor, university of floridaAdresse e-mail validée de ufl.edu
Donald HearnProfessor Emeritus of Industrial and Systems Engineering, U of FloridaAdresse e-mail validée de ise.ufl.edu

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Stan Uryasev

Professor, Stony Brook University

Adresse e-mail validée de stonybrook.edu - Page d'accueil

quantitative finance operations research optimization statistics data mining


Titre Trier par citations Trier par année Trier par titre	Citée par Citée par	Année
Optimization of conditional value-at-risk RT Rockafellar, S Uryasev Journal of risk 2, 21-42, 2000	9297	2000
Conditional value-at-risk for general loss distributions RT Rockafellar, S Uryasev Journal of banking & finance 26 (7), 1443-1471, 2002	5636	2002
Portfolio optimization with conditional value-at-risk objective and constraints P Krokhmal, J Palmquist, S Uryasev Journal of risk 4, 43-68, 2002	1145	2002
Generalized deviations in risk analysis RT Rockafellar, S Uryasev, M Zabarankin Finance and Stochastics 10, 51-74, 2006	718	2006
Conditional value-at-risk: Optimization algorithms and applications S Uryasev proceedings of the IEEE/IAFE/INFORMS 2000 conference on computational …, 2000	696	2000
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	632	2008
Credit risk optimization with conditional value-at-risk criterion F Andersson, H Mausser, D Rosen, S Uryasev Mathematical programming 89, 273-291, 2001	532	2001
Drawdown measure in portfolio optimization A Chekhlov, S Uryasev, M Zabarankin International Journal of Theoretical and Applied Finance 8 (01), 13-58, 2005	430	2005
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	306	2013
Deviation measures in risk analysis and optimization RT Rockafellar, SP Uryasev, M Zabarankin University of Florida, Department of Industrial & Systems Engineering …, 2002	305	2002
Relaxation algorithms to find Nash equilibria with economic applications JB Krawczyk, S Uryasev Environmental Modeling & Assessment 5, 63-73, 2000	304	2000
Modeling and optimization of risk P Krokhmal, M Zabarankin, S Uryasev Surveys in operations research and management science 16 (2), 49-66, 2011	281	2011
Portfolio optimization with drawdown constraints A Chekhlov, S Uryasev, M Zabarankin Supply chain and finance, 209-228, 2004	212	2004
Algorithms for optimization of value-at-risk N Larsen, H Mausser, S Uryasev Financial engineering, E-commerce and supply chain, 19-46, 2002	188	2002
Optimal risk path algorithms M Zabarankin, S Uryasev, P Pardalos Cooperative control and optimization, 273-298, 2002	168	2002
Probabilistic constrained optimization: methodology and applications S Uryasev Springer Science & Business Media, 2013	166	2013
Conditional value-at-risk: optimization approach S Uryasev, RT Rockafellar Stochastic optimization: algorithms and applications, 411-435, 2001	163	2001
Optimization of conditional value at risk S Uryasev, RT Rockafellar JOURNAL OF RISK 3, 21-41, 2000	161	2000
Capital asset pricing model (CAPM) with drawdown measure M Zabarankin, K Pavlikov, S Uryasev European Journal of Operational Research 234 (2), 508-517, 2014	156	2014
Master funds in portfolio analysis with general deviation measures RT Rockafellar, S Uryasev, M Zabarankin Journal of Banking & Finance 30 (2), 743-778, 2006	154	2006

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