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- Publications
- Influence
Optimization of conditional value-at risk
- R. T. Rockafellar, S. Uryasev
- Economics
- 2000
A new approach to optimizing or hedging a portfolio of nancial instruments to reduce risk is presented and tested on applications. It focuses on minimizing Conditional Value-at-Risk (CVaR) rather… Expand
Conditional Value-at-Risk for General Loss Distributions
- R. T. Rockafellar, S. Uryasev
- Mathematics
- 2001
Fundamental properties of conditional value-at-risk (CVaR), as a measure of risk with significant advantages over value-at-risk (VaR), are derived for loss distributions in finance that can involve… Expand
Conditional Value-at-Risk for General Loss Distributions
- R. T. Rockafellar, S. Uryasev
- Computer Science
- 1 July 2002
TLDR
Generalized Deviations in Risk Analysis
- R. T. Rockafellar, S. Uryasev, M. Zabarankin
- Mathematics
- 3 September 2004
General deviation measures are introduced and studied systematically for their potential applications to risk management in areas like portfolio optimization and engineering. Such measures include… Expand
Generalized deviations in risk analysis
- R. T. Rockafellar, S. Uryasev, M. Zabarankin
- Computer Science
- Finance Stochastics
- 2006
TLDR
Conditional value-at-risk: optimization algorithms and applications
- S. Uryasev
- Economics, Computer Science
- Proceedings of the IEEE/IAFE/INFORMS Conference…
- 28 March 2000
TLDR
The fundamental risk quadrangle in risk management, optimization and statistical estimation
- R. T. Rockafellar, S. Uryasev
- Mathematics
- 1 October 2013
TLDR
Drawdown Measure in Portfolio Optimization
- A. Chekhlov, S. Uryasev, M. Zabarankin
- Economics
- 25 June 2003
A new one-parameter family of risk measures called Conditional Drawdown (CDD) has been proposed. These measures of risk are functionals of the portfolio drawdown (underwater) curve considered in… Expand
Credit risk optimization with Conditional Value-at-Risk criterion
- F. Andersson, Helmut Mausser, D. Rosen, S. Uryasev
- Mathematics, Computer Science
- Math. Program.
- 2001
TLDR
Optimality conditions in portfolio analysis with general deviation measures
- R. T. Rockafellar, S. Uryasev, M. Zabarankin
- Mathematics, Computer Science
- Math. Program.
- 1 September 2006
TLDR
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