Narrow search
Showing 1 - 5 of 5
Cover Image
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
Cover Image
Calibrating risk preferences with the generalized capital asset pricing model based on mixed conditional value-at-risk deviation
Kalinchenko, Konstantin; Uryasev, Stan; Rockafellar, … - In: Journal of risk 15 (2012/13) 1, pp. 45-70
Persistent link: https://www.econbiz.de/10009657965
Cover Image
Capital asset pricing model (CAPM) with drawdown measure
Zabarankin, Michael; Pavlikov, Konstantin; Uryasev, Stan - In: European journal of operational research : EJOR 234 (2014) 2, pp. 491-498
Persistent link: https://www.econbiz.de/10010356712
Cover Image
Equilibrium with investors using a diversity of deviation measures
Rockafellar, Ralph Tyrrell; Uryasev, Stan; Zabarankin, … - In: Journal of banking & finance 31 (2007) 11, pp. 3251-3268
Persistent link: https://www.econbiz.de/10003577312
Cover Image
Drawdown beta and portfolio optimization
Ding, Rui; Uryasev, Stan - In: Quantitative finance 22 (2022) 7, pp. 1265-1276
Persistent link: https://www.econbiz.de/10013367906