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Journal Articles
- 2024
[j37]Cheng Peng, Drew P. Kouri, Stan Uryasev:
Efficient and robust optimal design for quantile regression based on linear programming. Comput. Stat. Data Anal. 192: 107892 (2024)- [j36]Bogdan Grechuk
, Michael Zabarankin, Alexander Mafusalov, Stan Uryasev:
Buffered and Reduced Multidimensional Distribution Functions and Their Application in Optimization. Optim. Lett. 18(2): 403-426 (2024) - 2023
- [j35]Yongqiao Wang, He Ni, Stan Uryasev:
Buffered-ranking intervals for virtual profit efficiency analysis. Central Eur. J. Oper. Res. 31(4): 1149-1181 (2023) - 2021
- [j34]Jeremy D. Jordan, Stan Uryasev:
Shortest path network problems with stochastic arc weights. Optim. Lett. 15(8): 2793-2812 (2021) - 2020
- [j33]R. Tyrrell Rockafellar, Stan Uryasev:
Minimizing buffered probability of exceedance by progressive hedging. Math. Program. 181(2): 453-472 (2020) - 2019
- [j32]Matthew Norton, Stan Uryasev:
Maximization of AUC and Buffered AUC in binary classification. Math. Program. 174(1-2): 575-612 (2019) - [j31]Tong Zhang, Stan Uryasev, Yongpei Guan:
Derivatives and subderivatives of buffered probability of exceedance. Oper. Res. Lett. 47(2): 130-132 (2019) - 2018
- [j30]Danjue Shang, Victor Kuzmenko, Stan Uryasev:
Cash flow matching with risks controlled by buffered probability of exceedance and conditional value-at-risk. Ann. Oper. Res. 260(1-2): 501-514 (2018) - [j29]Stan Uryasev, Jun-ya Gotoh:
Preface. Ann. Oper. Res. 262(1): 1-2 (2018) - [j28]Konstantin Pavlikov, Stan Uryasev:
CVaR distance between univariate probability distributions and approximation problems. Ann. Oper. Res. 262(1): 67-88 (2018) - [j27]Alexander Mafusalov, Alexander Shapiro, Stan Uryasev:
Estimation and asymptotics for buffered probability of exceedance. Eur. J. Oper. Res. 270(3): 826-836 (2018) - [j26]Alexander Mafusalov, Stan Uryasev:
Buffered Probability of Exceedance: Mathematical Properties and Optimization. SIAM J. Optim. 28(2): 1077-1103 (2018) - [j25]Matthew Norton, Alexander Mafusalov, Stan Uryasev:
Cardinality of Upper Average and Its Application to Network Optimization. SIAM J. Optim. 28(2): 1726-1750 (2018) - 2017
- [j24]Jun-ya Gotoh, Stan Uryasev:
Support vector machines based on convex risk functions and general norms. Ann. Oper. Res. 249(1-2): 301-328 (2017) - [j23]Matthew Norton, Alexander Mafusalov, Stan Uryasev:
Soft Margin Support Vector Classification as Buffered Probability Minimization. J. Mach. Learn. Res. 18: 68:1-68:43 (2017) - 2016
- [j22]Alexander Mafusalov, Stan Uryasev:
CVaR (superquantile) norm: Stochastic case. Eur. J. Oper. Res. 249(1): 200-208 (2016) - [j21]Jun-ya Gotoh, Stan Uryasev:
Two pairs of families of polyhedral norms versus ℓ p -norms: proximity and applications in optimization. Math. Program. 156(1-2): 391-431 (2016) - 2014
- [j20]Alexander Veremyev, Peter Tsyurmasto, Stan Uryasev, R. Tyrrell Rockafellar:
Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing. Comput. Manag. Sci. 11(4): 341-364 (2014) - [j19]Michael Zabarankin, Konstantin Pavlikov, Stan Uryasev:
Capital Asset Pricing Model (CAPM) with drawdown measure. Eur. J. Oper. Res. 234(2): 508-517 (2014) - [j18]Peter Tsyurmasto, Michael Zabarankin, Stan Uryasev:
Value-at-risk support vector machine: stability to outliers. J. Comb. Optim. 28(1): 218-232 (2014) - [j17]Konstantin Pavlikov, Stan Uryasev:
CVaR norm and applications in optimization. Optim. Lett. 8(7): 1999-2020 (2014) - 2012
- [j16]So Yeon Chun, Alexander Shapiro, Stan Uryasev:
Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics. Oper. Res. 60(4): 739-756 (2012) - 2011
- [j15]Farid AitSahlia, Chung-Jui Wang, Victor E. Cabrera, Stan Uryasev, Clyde W. Fraisse:
Optimal crop planting schedules and financial hedging strategies under ENSO-based climate forecasts. Ann. Oper. Res. 190(1): 201-220 (2011) - [j14]Nikita Boyko, Timofey Turko, Vladimir Boginski, David E. Jeffcoat, Stanislav Uryasev, Grigoriy Zrazhevsky, Panos M. Pardalos:
Robust multi-sensor scheduling for multi-site surveillance. J. Comb. Optim. 22(1): 35-51 (2011) - 2010
- [j13]Churlzu Lim, Hanif D. Sherali, Stan Uryasev:
Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization. Comput. Optim. Appl. 46(3): 391-415 (2010) - 2009
- [j12]Alexey Sorokin, Nikita Boyko, Vladimir Boginski, Stan Uryasev, Panos M. Pardalos:
Mathematical Programming Techniques for Sensor Networks. Algorithms 2(1): 565-581 (2009) - 2008
- [j11]R. Tyrrell Rockafellar, Stan Uryasev, Michael Zabarankin:
Risk Tuning with Generalized Linear Regression. Math. Oper. Res. 33(3): 712-729 (2008) - [j10]Clayton W. Commander, Panos M. Pardalos, Valeriy Ryabchenko, Oleg V. Shylo, Stan Uryasev, Grigoriy Zrazhevsky:
Jamming communication networks under complete uncertainty. Optim. Lett. 2(1): 53-70 (2008) - 2007
- [j9]Pavlo A. Krokhmal, Stan Uryasev:
A sample-path approach to optimal position liquidation. Ann. Oper. Res. 152(1): 193-225 (2007) - [j8]Clayton W. Commander, Panos M. Pardalos, Valeriy Ryabchenko, Stan Uryasev, Grigoriy Zrazhevsky:
The wireless network jamming problem. J. Comb. Optim. 14(4): 481-498 (2007) - 2006
- [j7]R. Tyrrell Rockafellar, Stan Uryasev, Michael Zabarankin:
Generalized deviations in risk analysis. Finance Stochastics 10(1): 51-74 (2006) - [j6]R. Tyrrell Rockafellar, Stan Uryasev, Michael Zabarankin:
Optimality conditions in portfolio analysis with general deviation measures. Math. Program. 108(2-3): 515-540 (2006) - 2005
- [j5]Sergiy Butenko, Alexander Golodnikov, Stanislav Uryasev:
Optimal Security Liquidation Algorithms. Comput. Optim. Appl. 32(1-2): 9-27 (2005) - 2001
- [j4]Fredrik Andersson, Helmut Mausser, Dan Rosen, Stanislav Uryasev:
Credit risk optimization with Conditional Value-at-Risk criterion. Math. Program. 89(2): 273-291 (2001) - 1995
- [j3]Stanislav Uryasev:
Derivatives of probability functions and some applications. Ann. Oper. Res. 56(1): 287-311 (1995) - 1994
- [j2]Stanislav Uryasev, Reuven Y. Rubinstein:
On relaxation algorithms in computation of noncooperative equilibria. IEEE Trans. Autom. Control. 39(6): 1263-1267 (1994) - 1992
- [j1]Stanislav P. Uryasev:
A stochastic quasigradient algorithm with variable metric. Ann. Oper. Res. 39(1): 251-267 (1992)
Conference and Workshop Papers
- 2019
- [c5]Alexander Wagner, Stan Uryasev:
Portfolio Optimization with Expectile and Omega Functions. WSC 2019: 926-937 - [c4]Stan Uryasev, Giorgi Pertaia:
How to Supplement the Safety Requirements. WSC 2019: 3098-3103 - 2004
- [c3]Sergey Sarykalin, Stan Uryasev:
Pricing Derivative Securities in Incomplete Markets. WSC 2004: 1586-1588 - 2002
- [c2]Ursula Theiler, Vladimir Bugera, Alla Revenko, Stanislav Uryasev:
Regulatory Impacts on Credit Portfolio Management. OR 2002: 335-340 - 2000
- [c1]Stanislav Uryasev:
Conditional value-at-risk: optimization algorithms and applications. CIFEr 2000: 49-57
Parts in Books or Collections
- 2005
- [p1]Pavlo A. Krokhmal, Stan Uryasev, Grigoriy Zrazhevsky:
29. Numerical Comparison of Conditional Value-at-Risk and Conditional Drawdown-at-Risk Approaches: Application to Hedge Funds. Applications of Stochastic Programming 2005: 609-631
Reference Works
- 2009
- [r1]Stan Uryasev:
Derivatives of Probability and Integral Functions: General Theory and Examples. Encyclopedia of Optimization 2009: 658-663
Coauthor Index
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