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Uryasev, Stanislav P.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
8,657 |
Total
Citations
187 |
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1.
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Rockafellar, R. Tyrrell
University of Washington - Department of Mathmatics Uryasev, Stanislav P.
University of Florida
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1,471
(4,822)
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94
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Value-at-risk, conditional value-at-risk, mean shortfall, coherent risk measures, risk sampling, scenarios, hedging, index tracking, portfolio optimization, risk management
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2.
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Krokhmal, Pavlo A.
University of Florida - Department of Industrial and Systems Engineering Uryasev, Stanislav P.
University of Florida Zrazhevsky, Grigory M.
University of Florida - Department of Industrial and Systems Engineering
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1,434
(5,058)
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3
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Hedge funds, linear portfolio rebalancing strategies, risk management, conditional value-at-risk, conditional drawdown-at-risk, mean absolute deviation, maximum loss, market neutrality, in-sample testing, out-of-sample testing
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3.
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Chekhlov, Alexei
Columbia University - Department of Mathematics Uryasev, Stanislav P.
University of Florida Zabarankin, Michael
Stevens Institute of Technology - Department of Mathematical Sciences
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1,138
(7,481)
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14
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4.
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Chekhlov, Alexei
Columbia University - Department of Mathematics Uryasev, Stanislav P.
University of Florida Zabarankin, Michael
Stevens Institute of Technology - Department of Mathematical Sciences
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1,047
(8,633)
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8
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5.
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Rockafellar, R. Tyrrell
University of Washington - Department of Mathmatics Uryasev, Stanislav P.
University of Florida Zabarankin, Michael
Stevens Institute of Technology - Department of Mathematical Sciences
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855
(11,895)
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12
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risk management, deviation measures, coherent risk
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6.
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Testuri, Carlos E.
affiliation not provided to SSRN Uryasev, Stanislav P.
University of Florida
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500
(25,489)
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3
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7.
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Bugera, Vladimir
American Express Company Konno, Hiroshi
Chuo University - Deptartment of Industrial and Systems Engineering Uryasev, Stanislav P.
University of Florida
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434
(30,684)
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credit cards scoring, credit rating, classification, quadratic utility function
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8.
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Wang, Chung-Jui
University of Florida - Risk Management and Financial Engineering (RMFE) Lab Uryasev, Stanislav P.
University of Florida
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392
(34,926)
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best execution, secondary mortgage market, mortgage-backed security (MBS), Fannie Mae, MBS coupon rate, guarantee fee, guarantee fee buy-up/buy-down, servicing fee, mixed integer programming
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9.
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Rockafellar, R. Tyrrell
University of Washington - Department of Mathmatics Uryasev, Stanislav P.
University of Florida Zabarankin, Michael
Stevens Institute of Technology - Department of Mathematical Sciences
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331
(42,960)
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13
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deviation measures, risk measures, value-at-risk, conditional value-at-risk, portfolio optimization, one-fund theorems, master funds, efficient frontiers, CAPM, convex analysis
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10.
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Rockafellar, R. Tyrrell
University of Washington - Department of Mathmatics Uryasev, Stanislav P.
University of Florida Zabarankin, Michael
Stevens Institute of Technology - Department of Mathematical Sciences
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226
(65,997)
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17
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Risk management, deviation measures, coherent risk measures
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11.
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Liu, Juan
University of Florida Men, Chunhua
University of Florida Cabrera, Victor E.
University of Miami Uryasev, Stanislav P.
University of Florida Fraisse, Clyde
University of Florida
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194
(77,115)
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climate risk, market risk, CVaR, ENSO
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12.
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Rockafellar, R. Tyrrell
University of Washington - Department of Mathmatics Uryasev, Stanislav P.
University of Florida Zabarankin, Michael
Stevens Institute of Technology - Department of Mathematical Sciences
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166
(89,346)
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6
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Generalized deviation measures, portfolio analysis, generalized master funds, CAPM-like relations, optimality conditions, risk envelopes, risk identifiers, conditional value-at-risk, risk management, stochastic optimization
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13.
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Ryabchenko, Valeriy
University of Florida Sarykalin, Sergey
University of Florida Uryasev, Stanislav P.
University of Florida
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142
(102,751)
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options pricing, incomplete markets, non-self-financing portfolio, hedging
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14.
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Rockafellar, R. Tyrrell
University of Washington - Department of Mathmatics Uryasev, Stanislav P.
University of Florida Zabarankin, Michael
Stevens Institute of Technology - Department of Mathematical Sciences
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134
(107,928)
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11
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Deviation measures, risk measures, value-at-risk, conditional value-at-risk, portfolio optimization, one-fund theorem, master fund, basic fund, efficient frontier, convex analysis
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15.
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Rockafellar, R. Tyrrell
University of Washington - Department of Mathmatics Uryasev, Stanislav P.
University of Florida Zabarankin, Michael
Stevens Institute of Technology - Department of Mathematical Sciences
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81
(155,199)
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3
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linear regression, error measures, deviation measures, risk measures
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16.
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Ergashev, Bakhodir
Federal Reserve Banks - Federal Reserve Bank of Richmond Pavlikov, Konstantin
University of Florida - Department of Industrial and Systems Engineering Uryasev, Stanislav P.
University of Florida Sekeris, Evangelos
Federal Reserve Banks - Federal Reserve Bank of Richmond
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60
(183,895)
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Operational risk, VaR, Censored data, Truncation, Method of moments, Maximum likelihood
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17.
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Rockafellar, R. Tyrrell
University of Washington - Department of Mathmatics Uryasev, Stanislav P.
University of Florida Zabarankin, Michael
Stevens Institute of Technology - Department of Mathematical Sciences
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52
(197,047)
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3
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financial equilibrium, portfolio analysis, generalized deviation measures
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Records 1 -
17
of 17 matches
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