| . |
Rockafellar, R. Tyrrell's
Scholarly Papers
Click on the title of any column to sort the table by that
column. |
|
|
| |
|
|
Aggregate Statistics |
|
Total
Downloads
3,362 |
Total
Citations
159 |
|
|
|
|
|
1.
|
|
|
Rockafellar, R. Tyrrell
University of Washington - Department of Mathmatics Uryasev, Stanislav P.
University of Florida
|
|
1,471
(4,822)
|
94
|
|
| |
|
| |
Value-at-risk, conditional value-at-risk, mean shortfall, coherent risk measures, risk sampling, scenarios, hedging, index tracking, portfolio optimization, risk management
|
|
|
2.
|
|
|
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
|
|
854
(11,895)
|
12
|
|
| |
|
| |
risk management, deviation measures, coherent risk
|
|
|
3.
|
|
|
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
|
|
331
(42,960)
|
13
|
|
| |
|
| |
deviation measures, risk measures, value-at-risk, conditional value-at-risk, portfolio optimization, one-fund theorems, master funds, efficient frontiers, CAPM, convex analysis
|
|
|
4.
|
|
|
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
|
|
226
(65,997)
|
17
|
|
| |
|
| |
Risk management, deviation measures, coherent risk measures
|
|
|
5.
|
|
|
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
|
|
166
(89,346)
|
6
|
|
| |
|
| |
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
|
|
|
6.
|
|
|
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
|
|
134
(107,928)
|
11
|
|
| |
|
| |
Deviation measures, risk measures, value-at-risk, conditional value-at-risk, portfolio optimization, one-fund theorem, master fund, basic fund, efficient frontier, convex analysis
|
|
|
7.
|
|
|
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
|
|
81
(155,199)
|
3
|
|
| |
|
| |
linear regression, error measures, deviation measures, risk measures
|
|
|
8.
|
|
|
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
|
|
52
(197,047)
|
3
|
|
| |
|
| |
financial equilibrium, portfolio analysis, generalized deviation measures
|
|
|
9.
|
|
|
Kalinchenko, Konstantin
University of Florida Uryasev, Stanislav
affiliation not provided to SSRN Rockafellar, R. Tyrrell
University of Washington - Department of Mathmatics
|
| Posted: |
|
16 Apr 11
|
|
Last Revised:
|
|
27 Apr 11
|
|
47
(206,083)
|
|
|
| |
|
| |
Capital Asset Pricing Model (CAPM), master fund, risk preferences, value-at-risk (VaR), conditional value-at-risk (CVaR), mixed CVaR deviation
|
|
Records 1 -
9
of 9 matches
[
1
]
|
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo2 in 0.219 seconds
|
