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16 research outputs found

On Relation Between Expected Regret and Conditional Value at Risk

Author: A Brooke
A Prekopa
Carlos E. Testuri
D R Carino
F Andersson
G Ch
H Konno
Ilog
J Palmquist
M R Young
P Artzner
P Embrechts
R S Dembo
R S Dembo
R T Rockafellar
S Uryasev
S Uryasev
Stanislav P. Uryasev
Publication venue: 'Elsevier BV'
Publication date: 01/01/2000
Field of study

Risk Management for Hedge Fund Portfolios

Author: Artzner P.
Consigli G.
Duarte A.
Grigory Zrazhevsky
Krokhmal P.
Lo A.
Mausser H.
Pavlo Krokhmal
Rockafellar R.T.
Stanislav Uryasev
Publication venue: 'Pageant Media US'
Publication date
Field of study

Derivatives of probability functions and some applications

Author: A. Prékopa
A. Prékopa
A. Pulkkinen
A. Pulkkinen
A.A. Gaivoronski
E. Raik
K. Marti
P. Glasserman
R. Rubinstein
R. Rubinstein
S. Uryas'ev
S. Uryas'ev
Stanislav Uryasev
Y.C. Ho
Yu. Ermoliev
Yu. Ermoliev
Publication venue: 'Springer Science and Business Media LLC'
Publication date
Field of study

Deviation Measures in Risk Analysis and Optimization

Author: A
C Acerbi
C Acerbi
E Asplund
F Delbaen
F Delbaen
G C Pflug
M E Yaari
Michael Zabarankin
P Artzner
R T Rockafellar
R T Rockafellar
R T Rockafellar
R T Rockafellar
R T Rockafellar
R T Rockafellar
Stanislav P. Uryasev
Tyrrell R. Rockafellar
Publication venue: 'Elsevier BV'
Publication date: 01/01/2003
Field of study

Portfolio Optimization with Drawdown Constraints

Author: Alexei Chekhlov
F Andersson
H Konno
H M Markowitz
H Mausser
J Cvitanic
J Palmquist
M R Young
Michael Zabarankin
P Artzner
Ph Jorion
R C Grinold
R S Dembo
R T Rockafellar
R T Rockafellar
S J Grossman
Stanislav P. Uryasev
W T Ziemba
Publication venue: 'Elsevier BV'
Publication date: 01/01/2000
Field of study

CVaR Model for Optimizing Crop Insurance under Climate Variability

Author: A Consiglio
C F Ropelewski
C R Messina
C W Fraisse
Chunhua Men
Clyde Fraisse
J C Rogers
J W Hansen
J W Hansen
J W Jones
J W Jones
J W Mjelde
J W Mjelde
Juan Liu
M Sittel
P Artzner
P M Green
R T Rockafellar
R T Rockafellar
S A Changnon
Stanislav P. Uryasev
T Mavromatis
V E Cabrera
V E Cabrera
Victor E. Cabrera
Virginia Arlington
Publication venue: 'Elsevier BV'
Publication date: 01/01/2006
Field of study

Pricing European Options by Numerical Replication: Quadratic Programming with Constraints

Author: A King
C Edirisinghe
C Joy
D Bertsimas
D Bertsimas
D Duffie
F Black
F Longstaff
H Fllmer
H Follmer
H Levy
J Tsitsiklis
J Tsitsiklis
J Wu
J-P Bouchaud
L Carriere
M Broadie
M Broadie
M Dempster
M Dempster
M Dempster
M Schweizer
M Schweizer
M Schweizer
P Boyle
P Dennis
P Glasserman
P H Ritchken
Phelim P Boyle
R Dembo
R Merton
S Fedotov
S Perrakis
Sergey Sarykalin
Stanislav P. Uryasev
T Coleman
V Naik
Valeriy Ryabchenko
Y Ait-Sahalia
Y Gotoh
Publication venue: 'Elsevier BV'
Publication date: 01/01/2005
Field of study

Portfolio Analysis with General Deviation Measures

Author: C Acerbi
C Acerbi
D Bertsimas
D G Luenberger
D Tasche
F Delbaen
H Konno
H M Markowitz
H M Markowitz
J Tobin
J Von Neumann
Michael Zabarankin
P A Samuelson
P Artzner
R R Grauer
R T Rockafellar
R T Rockafellar
R T Rockafellar
R T Rockafellar
R T Rockafellar
R T Rockafellar
Stanislav P. Uryasev
Tyrrell R. Rockafellar
V S Bawa
W F Sharpe
W F Sharpe
Y Kroll
Y Malevergne
Publication venue: 'Elsevier BV'
Publication date: 01/01/2003
Field of study

Credit Cards Scoring With Quadratic Utility Function

Author: B Efron
C Zopounidis
C Zopounidis
D J Hand
D M Titterington
E I Altman
E I Altman
E J Anderson
H Konno
H Konno
Hiroshi Konno
J B Rosen
J C Wiginton
J H Myers
J M Devauld
J Y Coffman
L C Thomas
N Capon
O L Mangasarian
O Mangasarian
P M Pardalos
P S Bradley
R A Fisher
Stanislav P. Uryasev
V Vapnik
Vladimir Bugera
W E Henley
X S Damaskos
Publication venue: 'Elsevier BV'
Publication date: 01/01/2002
Field of study

Calibrating Risk Preferences with Generalized CAPM Based on Mixed CVaR Deviation

Author: A Kraus
Ait-Sahalia
E F Fama
F A Sortino
Friend
H Konno
H M Markowitz
J C Jackwerth
J Estrada
J Lintner
J Mossin
K.-G Lim
Konstantin Kalinchenko
N Barberis
P Krokhmal
P Krokhmal
R R Bliss
R T Rockafellar
R T Rockafellar
R T Rockafellar
R T Rockafellar
R T Rockafellar
R T Rockafellar
S Sarykalin
S Sarykalin
Stanislav Uryasev
Tyrrell R. Rockafellar
W F Sharpe
Publication venue: 'Elsevier BV'
Publication date: 01/01/2011
Field of study

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