R. Tyrrell Rockafellar

University of Washington - Department of Mathmatics

Box 354350

Seattle, WA 98195-4350

United States

  • University of Washington - Department of Mathmatics

SCHOLARLY PAPERS

11

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511

Scholarly Papers (11)

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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
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 2,668 (11,119)
Citation 87

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risk management, deviation measures, coherent risk

2.

Conditional Value-at-Risk for General Loss Distributions

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 2,296 (14,182)
Citation 337

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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

3.

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 431 (146,666)
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

4.

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 351 (185,335)
Citation 62

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Risk management, deviation measures, coherent risk measures

5.

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 251 (262,932)
Citation 2

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linear regression, error measures, deviation measures, 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
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 242 (272,624)
Citation 9

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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
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 199 (328,878)
Citation 3

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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.

Calibrating Risk Preferences with Generalized CAPM Based on Mixed CVaR Deviation

University of Florida Working Paper Series No. 2011-2
Number of pages: 23 Posted: 16 Apr 2011 Last Revised: 27 Apr 2011
Konstantin Kalinchenko, Stanislav Uryasev and R. Tyrrell Rockafellar
University of Florida, affiliation not provided to SSRN and University of Washington - Department of Mathmatics
Downloads 135 (459,451)
Citation 3

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Capital Asset Pricing Model (CAPM), master fund, risk preferences, value-at-risk (VaR), conditional value-at-risk (CVaR), mixed CVaR deviation

9.

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 121 (500,939)
Citation 1

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financial equilibrium, portfolio analysis, generalized deviation measures

10.

General Economic Equilibrium with Financial Markets and Retainability

Number of pages: 33 Posted: 29 Jun 2014
Alejandro Jofre, R. Tyrrell Rockafellar and Roger Wets
University of Chile, CMM & DIM, University of Washington - Department of Mathmatics and University of California, Davis
Downloads 72 (703,468)
Citation 3

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general economic equilibrium, incomplete financial markets, generalized goods, retainability of goods, currency, derivatives, collateral, default, transaction costs, asset pricing, marginal utility, variational inequality modeling, variational analysis

11.

The Robust Stability of Every Equilibrium in Economic Models of Exchange Even Under Relaxed Standard Conditions

Number of pages: 26 Posted: 07 Jul 2014
Alejandro Jofre, R. Tyrrell Rockafellar and Roger Wets
University of Chile, CMM & DIM, University of Washington - Department of Mathmatics and University of California, Davis
Downloads 56 (802,079)
Citation 1

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General equilibrium, exchange models, price adjustments, Walrasian tâtonnement, tâtonnement stability, shift stability, evolution of equilibrium, monotonicity, variational analysis