S. Uryasev

Publications
Influence

Optimization of conditional value-at risk

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

4,423
583
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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

2,245
295
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Conditional Value-at-Risk for General Loss Distributions

R. T. Rockafellar, S. Uryasev
Computer Science
1 July 2002

Conditional value-at-risk is able to quantify dangers beyond value- at-risk, and moreover it is coherent. Expand

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

General deviation measures are introduced and studied systematically for their potential applications in areas like portfolio optimization and engineering. Expand

Conditional value-at-risk: optimization algorithms and applications

S. Uryasev
Economics, Computer Science
Proceedings of the IEEE/IAFE/INFORMS Conference…
28 March 2000

This article has outlined a new approach for the simultaneous calculation of value-at-risk (VaR) and optimization of conditional VaR (CVaR) for a broad class of problems. Expand

The fundamental risk quadrangle in risk management, optimization and statistical estimation

R. T. Rockafellar, S. Uryasev
Mathematics
1 October 2013

We propose the fundamental risk quadrangle of risk, which bridges risk management, optimization, statistics and Stochastic Optimization. Expand

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

This paper examines a new approach for credit risk optimization. Expand

Optimality conditions in portfolio analysis with general deviation measures

R. T. Rockafellar, S. Uryasev, M. Zabarankin
Mathematics, Computer Science
Math. Program.
1 September 2006

Optimality conditions are derived for problems of minimizing a general measure of deviation of a random variable, with special attention to situations where the random variable could be the rate of return from a portfolio of financial instruments. Expand

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