Stanislav P. Uryasev

University of Florida

Professor

303 Weil Hall

Gainesville, FL 32611-6595

United States

http://www.ise.ufl.edu/uryasev/

SCHOLARLY PAPERS

18

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Rank 3,129

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Top 3,129

in Total Papers Downloads

11,736

SSRN CITATIONS
Rank 5,295

SSRN RANKINGS

Top 5,295

in Total Papers Citations

113

CROSSREF CITATIONS

77

Scholarly Papers (18)

1.

Comparative Analysis of Linear Portfolio Rebalancing Strategies: An Application to Hedge Funds

U of Florida ISE Research Report No. 2001-11
Number of pages: 36 Posted: 22 Jan 2002
Pavlo A. Krokhmal, Stanislav P. Uryasev and Grigory M. Zrazhevsky
University of Florida - Department of Industrial and Systems Engineering, University of Florida and University of Florida - Department of Industrial and Systems Engineering
Downloads 2,007 (7,161)
Citation 4

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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

2.

Drawdown Measure in Portfolio Optimization

Number of pages: 41 Posted: 13 May 2004
Alexei Chekhlov, Stanislav P. Uryasev and Michael Zabarankin
Columbia University - Department of Mathematics, University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads 1,681 (9,662)
Citation 22

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3.

Deviation Measures in Risk Analysis and Optimization

University of Florida, Department of Industrial & Systems Engineering Working Paper No. 2002-7
Number of pages: 27 Posted: 22 Jan 2003
R. Tyrrell Rockafellar, Stanislav P. Uryasev and Michael Zabarankin
University of Washington - Department of Mathmatics, University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads 1,643 (10,043)
Citation 54

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risk management, deviation measures, coherent risk

4.

Conditional Value-at-Risk for General Loss Distributions

EFA 2001 Barcelona Meetings, EFMA 2001 Lugano Meetings; U of Florida, ISE Dept. Working Paper No. 2001-5
Number of pages: 34 Posted: 30 Apr 2001
R. Tyrrell Rockafellar and Stanislav P. Uryasev
University of Washington - Department of Mathmatics and University of Florida
Downloads 1,617 (10,317)
Citation 87

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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

5.

Portfolio Optimization with Drawdown Constraints

Research Report #2000-5
Number of pages: 17 Posted: 18 Aug 2000
Alexei Chekhlov, Stanislav P. Uryasev and Michael Zabarankin
Columbia University - Department of Mathematics, University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads 1,526 (11,308)
Citation 14

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6.

On Relation between Expected Regret and Conditional Value at Risk

Department of Industrial and Systems Engineering Research Report 2000-9
Number of pages: 14 Posted: 02 Nov 2000
Carlos E. Testuri and Stanislav P. Uryasev
affiliation not provided to SSRN and University of Florida
Downloads 534 (50,953)
Citation 7

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7.

Best Execution in Mortgage Secondary Markets

University of Florida Research Report No. 2005-3
Number of pages: 13 Posted: 02 Nov 2005
Chung-Jui Wang and Stanislav P. Uryasev
University of Florida - Risk Management and Financial Engineering (RMFE) Lab and University of Florida
Downloads 485 (57,619)

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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

8.

Credit Cards Scoring with Quadratic Utility Function

University of Florida Industrial & Systems Engineering Research Report #2002-1
Number of pages: 22 Posted: 21 Jan 2002
Vladimir Bugera, Hiroshi Konno and Stanislav P. Uryasev
University of Florida - Risk Management and Financial Engineering (RMFE) Lab, Chuo University - Deptartment of Industrial and Systems Engineering and University of Florida
Downloads 450 (63,178)

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credit cards scoring, credit rating, classification, quadratic utility function

9.

Portfolio Analysis with General Deviation Measures

U of Florida, Industrial and Systems Engineering Research Report No. 2003-8
Number of pages: 36 Posted: 17 Jul 2003
R. Tyrrell Rockafellar, Stanislav P. Uryasev and Michael Zabarankin
University of Washington - Department of Mathmatics, University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads 356 (83,329)
Citation 2

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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

10.

Generalized Deviations in Risk Analysis

University of Florida Department of Industrial and Systems Engineering Working Paper No. 2004-4
Number of pages: 22 Posted: 10 Sep 2004
R. Tyrrell Rockafellar, Stanislav P. Uryasev and Michael Zabarankin
University of Washington - Department of Mathmatics, University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads 272 (111,962)
Citation 28

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Risk management, deviation measures, coherent risk measures

Estimation of Truncated Data Samples in Operational Risk Modeling

Number of pages: 32 Posted: 27 Dec 2012 Last Revised: 23 Apr 2014
EY, University of Florida - Department of Industrial and Systems Engineering, University of Florida and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 265 (114,499)
Citation 1

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Operational risk, VaR, Censored data, Truncation, Method of moments, Maximum likelihood

Estimation of Truncated Data Samples in Operational Risk Modeling

Journal of Risk and Insurance, Vol. 83, Issue 3, pp. 613-640, 2016
Number of pages: 28 Posted: 09 Aug 2016
EY, University of Florida - Department of Industrial and Systems Engineering, University of Florida and Federal Reserve Banks - Federal Reserve Bank of Richmond
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12.

Cvar Model for Optimizing Crop Insurance Under Climate Variability

Number of pages: 12 Posted: 27 Jan 2006
Juan Liu, Chunhua Men, Victor E. Cabrera, Stanislav P. Uryasev and Clyde Fraisse
University of Florida, University of Florida, University of Miami, University of Florida and University of Florida
Downloads 245 (124,793)

Abstract:

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climate risk, market risk, CVaR, ENSO

13.

Optimality Conditions in Portfolio Analysis with General Deviation Measures

University of Florida Industrial and Systems Engineering Working Paper No. 2004-7
Number of pages: 23 Posted: 09 Nov 2004
R. Tyrrell Rockafellar, Stanislav P. Uryasev and Michael Zabarankin
University of Washington - Department of Mathmatics, University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads 176 (170,622)
Citation 5

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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

14.

Master Funds in Portfolio Analysis with General Deviation Measures

Journal of Banking and Finance, Forthcoming
Number of pages: 31 Posted: 09 Nov 2004
R. Tyrrell Rockafellar, Stanislav P. Uryasev and Michael Zabarankin
University of Washington - Department of Mathmatics, University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads 162 (183,239)
Citation 2

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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

15.

Pricing European Options by Numerical Replication: Quadratic Programming with Constraints

Number of pages: 35 Posted: 01 Nov 2005
Valeriy Ryabchenko, Sergey Sarykalin and Stanislav P. Uryasev
University of Florida, University of Florida and University of Florida
Downloads 153 (192,374)

Abstract:

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options pricing, incomplete markets, non-self-financing portfolio, hedging

16.

Risk Tuning With Generalized Linear Regression

Number of pages: 23 Posted: 01 Aug 2007
R. Tyrrell Rockafellar, Stanislav P. Uryasev and Michael Zabarankin
University of Washington - Department of Mathmatics, University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads 101 (263,373)
Citation 1

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linear regression, error measures, deviation measures, risk measures

17.

Equilibrium With Investors Using a Diversity of Deviation Measures

Number of pages: 17 Posted: 01 Aug 2007
R. Tyrrell Rockafellar, Stanislav P. Uryasev and Michael Zabarankin
University of Washington - Department of Mathmatics, University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads 63 (348,227)
Citation 1

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financial equilibrium, portfolio analysis, generalized deviation measures

18.

The CoCVaR Approach: Systemic Risk Contribution Measurement

Journal of Risk, Vol. 20, No. 4, 2018
Number of pages: 20 Posted: 07 May 2018
Wei-Qiang Huang and Stanislav P. Uryasev
Northeastern University and University of Florida
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systemic risk contribution, conditional value-at-risk (CVaR), CoCVaR, regression, bank.