Michael Zabarankin

Stevens Institute of Technology - Department of Mathematical Sciences

Assistant Professor

Hoboken, NJ 07030

United States

http://personal.stevens.edu/~mzabaran/

SCHOLARLY PAPERS

11

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6,823

SSRN CITATIONS
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SSRN RANKINGS

Top 10,414

in Total Papers Citations

62

CROSSREF CITATIONS

56

Scholarly Papers (11)

1.

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
University of Washington - Department of Mathmatics, University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads 2,018 (11,224)
Citation 76

Abstract:

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risk management, deviation measures, coherent risk

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 1,891 (12,383)
Citation 30

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3.

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 1,707 (14,599)
Citation 23

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4.

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
University of Washington - Department of Mathmatics, University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads 368 (114,637)
Citation 3

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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

5.

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
University of Washington - Department of Mathmatics, University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads 283 (151,599)
Citation 40

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Risk management, deviation measures, coherent risk measures

6.

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
University of Washington - Department of Mathmatics, University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads 197 (214,624)
Citation 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

7.

Master Funds in Portfolio Analysis with General Deviation Measures

Number of pages: 31 Posted: 09 Nov 2004
University of Washington - Department of Mathmatics, University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads 173 (240,188)
Citation 3

Abstract:

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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

8.

Risk Tuning With Generalized Linear Regression

Number of pages: 23 Posted: 01 Aug 2007
University of Washington - Department of Mathmatics, University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads 109 (342,555)
Citation 2

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linear regression, error measures, deviation measures, risk measures

9.

Equilibrium With Investors Using a Diversity of Deviation Measures

Number of pages: 17 Posted: 01 Aug 2007
University of Washington - Department of Mathmatics, University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads 72 (440,812)
Citation 1

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financial equilibrium, portfolio analysis, generalized deviation measures

10.

Cooperative Games with General Deviation Measures

Mathematical Finance, Vol. 23, Issue 2, pp. 339-365, 2013
Number of pages: 27 Posted: 06 Mar 2013
Bogdan Grechuk, Anton Molyboha and Michael Zabarankin
affiliation not provided to SSRN, affiliation not provided to SSRN and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads 3 (864,914)

Abstract:

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deviation measures, cooperative games, portfolio theory, risk sharing

11.

Schur Convex Functionals: Fatou Property and Representation

Mathematical Finance, Vol. 22, Issue 2, pp. 411-418, 2012
Number of pages: 8 Posted: 11 Feb 2012
Bogdan Grechuk and Michael Zabarankin
affiliation not provided to SSRN and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads 2 (877,942)

Abstract:

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Schur convexity, risk measures, quantile representation, deviation measures, error measures