Stanislav Uryasev : rechercher sur Z-Library

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1

Conditional value-at-risk for general loss distributions

R.Tyrrell Rockafellar, Stanislav Uryasev

Journal:

Journal of Banking & Finance

Année:

2002

Langue:

english

Fichier:

PDF, 396 KB

english, 2002

2

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

Uryasev, Stanislav, Pardalos, Panos M.

Année:

2001

Langue:

english

Fichier:

PDF, 34.11 MB

english, 2001

3

DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION

CHEKHLOV, ALEXEI, URYASEV, STANISLAV, ZABARANKIN, MICHAEL

Journal:

International Journal of Theoretical and Applied Finance

Année:

2005

Langue:

english

Fichier:

PDF, 509 KB

english, 2005

4

Risk Management for Hedge Fund Portfolios

Krokhmal, Pavlo, Uryasev, Stanislav, Zrazhevsky, Grigory

Journal:

The Journal of Alternative Investments

Année:

2002

Langue:

english

Fichier:

PDF, 1.06 MB

english, 2002

5

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)

Année:

2006

Langue:

english

Fichier:

PDF, 436 KB

english, 2006

6

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

Année:

1998

Langue:

english

Fichier:

PDF, 671 KB

english, 1998

7

Credit risk optimization with Conditional Value-at-Risk criterion

Fredrik Andersson, Helmut Mausser, Dan Rosen, Stanislav Uryasev

Journal:

Mathematical Programming

Année:

2001

Langue:

english

Fichier:

PDF, 99 KB

english, 2001

8

Optimal Security Liquidation Algorithms

Sergiy Butenko, Alexander Golodnikov, Stanislav Uryasev

Journal:

Computational Optimization and Applications

Année:

2005

Langue:

english

Fichier:

PDF, 1.83 MB

english, 2005

9

Asset/Liability Management for Pension Funds Using CVaR Constraints

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

Journal:

The Journal of Risk Finance

Année:

2001

Langue:

english

Fichier:

PDF, 633 KB

english, 2001

10

Deviation Measures in Risk Analysis and Optimization

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

Journal:

SSRN Electronic Journal

Année:

2003

Langue:

english

Fichier:

PDF, 296 KB

english, 2003

11

Portfolio Optimization with Drawdown Constraints

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

Journal:

SSRN Electronic Journal

Année:

2000

Langue:

english

Fichier:

PDF, 103 KB

english, 2000

12

Estimation of Truncated Data Samples in Operational Risk Modeling

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

Journal:

SSRN Electronic Journal

Année:

2012

Langue:

english

Fichier:

PDF, 2.37 MB

english, 2012

13

Credit cards scoring with quadratic utility functions

Vladimir Bugera, Hiroshi Konno, Stanislav Uryasev

Journal:

Journal of Multi-Criteria Decision Analysis

Année:

2002

Langue:

english

Fichier:

PDF, 291 KB

english, 2002

14

A sample-path approach to optimal position liquidation

Pavlo Krokhmal, Stanislav Uryasev

Journal:

Annals of Operations Research

Année:

2007

Langue:

english

Fichier:

PDF, 846 KB

english, 2007

15

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

Année:

2011

Langue:

english

Fichier:

PDF, 573 KB

english, 2011

16

Relaxation algorithms to find Nash equilibria with economic applications

Jacek B. Krawczyk, Stanislav Uryasev

Journal:

Environmental Modeling and Assessment

Année:

2000

Langue:

english

Fichier:

PDF, 192 KB

english, 2000

17

Derivatives of probability functions and some applications

Stanislav Uryasev

Journal:

Annals of Operations Research

Année:

1995

Langue:

english

Fichier:

PDF, 1.02 MB

english, 1995

18

On prediction of the cesarean delivery risk in a large private practice

Gang Chen, Stanislav Uryasev, Thomas K. Young

Journal:

American Journal of Obstetrics and Gynecology

Année:

2004

Langue:

english

Fichier:

PDF, 318 KB

english, 2004

19

Differentiability of probability function

Kibzun, Andrey, Uryasev, Stanislav

Journal:

Stochastic Analysis and Applications

Année:

1998

Langue:

english

Fichier:

PDF, 1.51 MB

english, 1998

20

[Applied Optimization] Stochastic Optimization: Algorithms and Applications Volume 54 || Conditional Value-at-Risk: Optimization Approach

Uryasev, Stanislav, Pardalos, Panos M.

Année:

2001

Langue:

english

Fichier:

PDF, 1.93 MB

english, 2001

21

[Nonconvex Optimization and Its Applications] Probabilistic Constrained Optimization Volume 49 || Introduction to the Theory of Probabilistic Functions and Percentiles (Value-at-Risk)

Uryasev, Stanislav P.

Année:

2000

Langue:

english

Fichier:

PDF, 2.21 MB

english, 2000

22

Analytic perturbation analysis for deds with discontinuous sample-path functions ∗

Uryasev, Stanislav

Journal:

Communications in Statistics Stochastic Models

Année:

1997

Langue:

english

Fichier:

PDF, 1.22 MB

english, 1997

23

Failure-Dependent Test, Repair, and Shutdown Strategies: Reducing the Impact of Common-Cause Failures

Uryasev, Stanislav P., Samanta, Pranab K.

Journal:

Nuclear Technology

Année:

1996

Langue:

english

Fichier:

PDF, 2.30 MB

english, 1996

24

Conditional Value-at-Risk for General Loss Distributions

Rockafellar, Tyrrell R., Uryasev, Stanislav P.

Journal:

SSRN Electronic Journal

Année:

2001

Langue:

english

Fichier:

PDF, 398 KB

english, 2001

25

Risk Tuning With Generalized Linear Regression

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

Journal:

SSRN Electronic Journal

Année:

2007

Langue:

english

Fichier:

PDF, 253 KB

english, 2007

26

Pricing European Options by Numerical Replication: Quadratic Programming with Constraints

Ryabchenko, Valeriy, Sarykalin, Sergey, Uryasev, Stanislav P.

Journal:

SSRN Electronic Journal

Année:

2005

Langue:

english

Fichier:

PDF, 1.05 MB

english, 2005

27

On Relation Between Expected Regret and Conditional Value at Risk

Testuri, Carlos E., Uryasev, Stanislav P.

Journal:

SSRN Electronic Journal

Année:

2000

Langue:

english

Fichier:

PDF, 92 KB

english, 2000

28

Comparative Analysis of Linear Portfolio Rebalancing Strategies: An Application to Hedge Funds

Krokhmal, Pavlo A., Uryasev, Stanislav P., Zrazhevsky, Grigory M.

Journal:

SSRN Electronic Journal

Année:

2002

Langue:

english

Fichier:

PDF, 260 KB

english, 2002