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A scenario decomposition algorithm for stochastic programming problems with a class of downside risk measures

Rysz, Maciej; Vinel, Alexander; Krokhmal, Pavlo; … - In: INFORMS journal on computing : JOC 27 (2015) 2, pp. 416-430

Persistent link: https://www.econbiz.de/10011291285

Morenko, Yana; Vinel, Alexander; Yu, Zhaohan; Krokhmal, … - In: European journal of operational research : EJOR 231 (2013) 3, pp. 784-789

Persistent link: https://www.econbiz.de/10009787348

CVaR regression based on the relation between CVaR and mixed-quantile quadrangles

Golodnikov, Alex; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 12 (2019) 3/107, pp. 1-22

A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications. The research presented involved developing algorithms for the implementation of linear regression for estimating CVaR as a function of some factors. Such regression is called...

Persistent link: https://www.econbiz.de/10012025262

Calibrating probability distributions with convex-concave-convex functions : application to CDO pricing

Veremyev, Alexander; Tsyurmasto, Peter; Uryasev, Stan; … - In: Computational Management Science : CMS 11 (2014) 4, pp. 341-364

Persistent link: https://www.econbiz.de/10010437154

Probabilistic constrained optimization : methodology and applications

Uryasev, Stan (ed.) - 2000

Persistent link: https://www.econbiz.de/10001510446

Drawdown measure in portfolio optimization

Chekhlov, Alexei; Uryasev, Stan; Zabarankin, Michael - In: International journal of theoretical and applied finance 8 (2005) 1, pp. 13-58

Persistent link: https://www.econbiz.de/10002625151

Optimal structuring of collateralized debt obligation contracts : an optimization approach

Veremyer, Alexander; Tsyurmasto, Peter; Uryasev, Stan - In: The journal of credit risk : published quarterly by … 8 (2012) 4, pp. 133-155

Persistent link: https://www.econbiz.de/10009700459

Pricing energy derivatives by linear programming : tolling agreement contracts

Ryabchenko, Valeriy; Uryasev, Stan - In: The journal of computational finance 14 (2010/11) 3, pp. 73-126

Persistent link: https://www.econbiz.de/10008989930

Risk-return optimization with different risk-aggregation strategies

Uryasev, Stan; Theiler, Ursula A.; Serraino, Gaia - In: Journal of risk finance : the convergence of financial … 11 (2010) 2, pp. 129-146

Persistent link: https://www.econbiz.de/10003953347

The golf director problem : forming teams for clubs golf competitions

Pavlikov, Konstantin; Hearn, Donald W.; Uryasev, Stan - In: Social networks and the economics of sports, (pp. 157-170). 2014

Persistent link: https://www.econbiz.de/10010478164