Stan Uryasev

According to our database, Stan Uryasev authored at least 45 papers between 1992 and 2024.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of three.

2024

Efficient and robust optimal design for quantile regression based on linear programming.

Cheng Peng, Drew P. Kouri, Stan Uryasev

Comput. Stat. Data Anal., April, 2024

Buffered and Reduced Multidimensional Distribution Functions and Their Application in Optimization.

Bogdan Grechuk, Michael Zabarankin, Alexander Mafusalov, Stan Uryasev

Optim. Lett., March, 2024

2023

Buffered-ranking intervals for virtual profit efficiency analysis.

Yongqiao Wang, He Ni, Stan Uryasev

Central Eur. J. Oper. Res., December, 2023

2021

Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation.

Matthew Norton, Valentyn Khokhlov, Stan Uryasev

Ann. Oper. Res., April, 2021

Shortest path network problems with stochastic arc weights.

Jeremy D. Jordan, Stan Uryasev

Optim. Lett., 2021

2020

Minimizing buffered probability of exceedance by progressive hedging.

R. Tyrrell Rockafellar, Stan Uryasev

Math. Program., 2020

2019

Derivatives and subderivatives of buffered probability of exceedance.

Tong Zhang, Stan Uryasev, Yongpei Guan

Oper. Res. Lett., 2019

Maximization of AUC and Buffered AUC in binary classification.

Matthew Norton, Stan Uryasev

Math. Program., 2019

Portfolio Optimization with Expectile and Omega Functions.

Alexander Wagner, Stan Uryasev

Proceedings of the 2019 Winter Simulation Conference, 2019

How to Supplement the Safety Requirements.

Stan Uryasev, Giorgi Pertaia

Proceedings of the 2019 Winter Simulation Conference, 2019

2018

Cardinality of Upper Average and Its Application to Network Optimization.

Matthew Norton, Alexander Mafusalov, Stan Uryasev

SIAM J. Optim., 2018

Buffered Probability of Exceedance: Mathematical Properties and Optimization.

Alexander Mafusalov, Stan Uryasev

SIAM J. Optim., 2018

Estimation and asymptotics for buffered probability of exceedance.

Alexander Mafusalov, Alexander Shapiro, Stan Uryasev

Eur. J. Oper. Res., 2018

Preface.

Stan Uryasev, Jun-ya Gotoh

Ann. Oper. Res., 2018

Cash flow matching with risks controlled by buffered probability of exceedance and conditional value-at-risk.

Danjue Shang, Victor Kuzmenko, Stan Uryasev

Ann. Oper. Res., 2018

CVaR distance between univariate probability distributions and approximation problems.

Konstantin Pavlikov, Stan Uryasev

Ann. Oper. Res., 2018

2017

Soft Margin Support Vector Classification as Buffered Probability Minimization.

Matthew Norton, Alexander Mafusalov, Stan Uryasev

J. Mach. Learn. Res., 2017

Support vector machines based on convex risk functions and general norms.

Jun-ya Gotoh, Stan Uryasev

Ann. Oper. Res., 2017

2016

Two pairs of families of polyhedral norms versus ℓ p -norms: proximity and applications in optimization.

Jun-ya Gotoh, Stan Uryasev

Math. Program., 2016

CVaR (superquantile) norm: Stochastic case.

Alexander Mafusalov, Stan Uryasev

Eur. J. Oper. Res., 2016

2014

CVaR norm and applications in optimization.

Konstantin Pavlikov, Stan Uryasev

Optim. Lett., 2014

Value-at-risk support vector machine: stability to outliers.

Peter Tsyurmasto, Michael Zabarankin, Stan Uryasev

J. Comb. Optim., 2014

Capital Asset Pricing Model (CAPM) with drawdown measure.

Michael Zabarankin, Konstantin Pavlikov, Stan Uryasev

Eur. J. Oper. Res., 2014

Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing.

Alexander Veremyev, Peter Tsyurmasto, Stan Uryasev, R. Tyrrell Rockafellar

Comput. Manag. Sci., 2014

2012

Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics.

So Yeon Chun, Alexander Shapiro, Stan Uryasev

Oper. Res., 2012

2011

Robust multi-sensor scheduling for multi-site surveillance.

Nikita Boyko, Timofey Turko, Vladimir Boginski, David E. Jeffcoat, Stanislav Uryasev, Grigoriy Zrazhevsky, Panos M. Pardalos

J. Comb. Optim., 2011

Optimal crop planting schedules and financial hedging strategies under ENSO-based climate forecasts.

Farid AitSahlia, Chung-Jui Wang, Victor E. Cabrera, Stan Uryasev, Clyde W. Fraisse

Ann. Oper. Res., 2011

2010

Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization.

Churlzu Lim, Hanif D. Sherali, Stan Uryasev

Comput. Optim. Appl., 2010

2009

Derivatives of Probability and Integral Functions: General Theory and Examples.

Stan Uryasev

Proceedings of the Encyclopedia of Optimization, Second Edition, 2009

Mathematical Programming Techniques for Sensor Networks.

Alexey Sorokin, Nikita Boyko, Vladimir Boginski, Stan Uryasev, Panos M. Pardalos

Algorithms, 2009

2008

Jamming communication networks under complete uncertainty.

Clayton W. Commander, Panos M. Pardalos, Valeriy Ryabchenko, Oleg V. Shylo, Stan Uryasev, Grigoriy Zrazhevsky

Optim. Lett., 2008

Risk Tuning with Generalized Linear Regression.

R. Tyrrell Rockafellar, Stan Uryasev, Michael Zabarankin

Math. Oper. Res., 2008

2007

The wireless network jamming problem.

Clayton W. Commander, Panos M. Pardalos, Valeriy Ryabchenko, Stan Uryasev, Grigoriy Zrazhevsky

J. Comb. Optim., 2007

A sample-path approach to optimal position liquidation.

Pavlo A. Krokhmal, Stan Uryasev

Ann. Oper. Res., 2007

2006

Optimality conditions in portfolio analysis with general deviation measures.

R. Tyrrell Rockafellar, Stan Uryasev, Michael Zabarankin

Math. Program., 2006

Generalized deviations in risk analysis.

R. Tyrrell Rockafellar, Stan Uryasev, Michael Zabarankin

Finance Stochastics, 2006

2005

Optimal Security Liquidation Algorithms.

Sergiy Butenko, Alexander Golodnikov, Stanislav Uryasev

Comput. Optim. Appl., 2005

29. Numerical Comparison of Conditional Value-at-Risk and Conditional Drawdown-at-Risk Approaches: Application to Hedge Funds.

Pavlo A. Krokhmal, Stan Uryasev, Grigoriy Zrazhevsky

Proceedings of the Applications of Stochastic Programming, 2005

2004

Pricing Derivative Securities in Incomplete Markets.

Sergey Sarykalin, Stan Uryasev

Proceedings of the 36th conference on Winter simulation, 2004

2002

Regulatory Impacts on Credit Portfolio Management.

Ursula Theiler, Vladimir Bugera, Alla Revenko, Stanislav Uryasev

Proceedings of the Operations Research Proceedings 2002, 2002

2001

Credit risk optimization with Conditional Value-at-Risk criterion.

Fredrik Andersson, Helmut Mausser, Dan Rosen, Stanislav Uryasev

Math. Program., 2001

2000

Conditional value-at-risk: optimization algorithms and applications.

Stanislav Uryasev

Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering, 2000

1995

Derivatives of probability functions and some applications.

Stanislav Uryasev

Ann. Oper. Res., 1995

1994

On relaxation algorithms in computation of noncooperative equilibria.

Stanislav Uryasev, Reuven Y. Rubinstein

IEEE Trans. Autom. Control., 1994

1992

A stochastic quasigradient algorithm with variable metric.

Stanislav P. Uryasev

Ann. Oper. Res., 1992