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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

Financial prediction with constrained tail risk

Trindade, A. Alexandre; Uryasev, Stan; Shapiro, Alexander; … - In: Journal of banking & finance 31 (2007) 11, pp. 3524-3538

Persistent link: https://www.econbiz.de/10003577519

Efficient execution in the secondary mortgage market : a stochastic optimization model using CVaR constraints

Wang, Chung-Jui; Uryasev, Stan - In: Journal of risk 10 (2007/08) 1, pp. 41-66

Persistent link: https://www.econbiz.de/10003572494

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

Conditional value-at-risk and average value-at-risk : estimation and asymptotics

Chun, So Yeon; Shapiro, Alex; Uryasev, Stan - In: Operations research 60 (2012) 4, pp. 739-756

Persistent link: https://www.econbiz.de/10009627501

CVaR (superquantile) norm : stochastic case

Mafusalov, Alexander; Uryasev, Stan - In: European journal of operational research : EJOR 249 (2016) 1, pp. 200-208

Persistent link: https://www.econbiz.de/10011435796

Portfolios dominating indices : optimization with second-order stochastic dominance constraints vs. minimum and mean variance portfolios

Keçeci, Neslihan Fidan; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 9 (2016) 4, pp. 1-14

The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD) constraints with mean-variance and minimum variance portfolio optimization. As a distribution-free decision rule, stochastic dominance takes into account the entire distribution of return rather than some...

Persistent link: https://www.econbiz.de/10011543019

Master funds in portfolio analysis with general deviation measures

Rockafellar, Ralph Tyrrell; Uryasev, Stan; Zabarankin, … - In: Journal of banking & finance 30 (2006) 2, pp. 743-778

Persistent link: https://www.econbiz.de/10003291372

Generalized deviations in risk analysis

Rockafellar, Ralph Tyrrell; Uryasev, Stan; Zabarankin, … - In: Finance and stochastics 10 (2006) 1, pp. 51-74

Persistent link: https://www.econbiz.de/10003234949

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